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Step Double Barrier Options [PDF]
The Journal of Derivatives, 2010 Barrier options are common in the market and a variety of procedures exist for efficient valuation of the plain vanilla varieties. But simple structures do not fit all investors’ preferences and needs, so more complex barrier options are also regularly traded. An important class is step double barrier contracts, which have barriers both above and below
Guillaume, Tristan
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THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2014 We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double barrier options with American features.
APPOLLONI E +2 more
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PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
International Journal of Theoretical and Applied Finance, 2012 We analyze the performance of robust hedging strategies of digital double barrier options of Cox and Obłój (2011) against that of traditional hedging methods such as delta and delta/vega hedging. Digital double barrier options are financial derivative contracts which pay out a fixed amount on the condition that the underlying asset remains within or ...
JAN OBŁÓJ, FRÉDÉRIK ULMER
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Review of Derivatives Research, 2003 This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications.
Guillaume, Tristan
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Pricing Double Barrier Options by Combinatorial Approaches [PDF]
, 2007 Double barrier options are important path-dependent derivatives in the financial market. How to price them efficiently and accurately is thus important. Until now, no simple closed-form pricing formula for double barrier options is reported. Double barrier options can be priced on a lattice that divides a certain time interval (from option initial date
Tian-Shyr Dai, Yuh-Dauh Lyuu
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Avaliação de Double Barrier Options
, 2010 Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências ...
Xavier, Ana Filipa Monteiro Leite Marques
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Pricing double-barrier Parisian options
IMA Journal of Management Mathematics, 2022 Abstract Parisian options are a useful real-option tool in risk management, particularly for corporate bankruptcy protection. However, in the past, only one barrier with the Parisian feature was studied in the literature, possibly due to the additional complication that arises with the co-existence of two barriers.
Liu, Chun-Yang +2 more
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Transverse Scaling of Schottky Barrier Charge-Trapping Cells for Energy-Efficient Applications
Crystals, 2020 This work numerically elucidates the effects of transverse scaling on Schottky barrier charge-trapping cells for energy-efficient applications. Together with the scaled gate structures and charge-trapping dielectrics, variations in bias conditions on ...
Hung-Jin Teng +5 more
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Foods, 2023 The rising consumer demand for safer, healthier, and fresher-like food has led to the emergence of new concepts in food packaging. In addition, the growing concern about environmental issues has increased the search for materials derived from non ...
Camily Aparecida Reis +2 more
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Embracing informed learner self-assessment during debriefing: the art of plus-delta
Advances in Simulation, 2021 The healthcare simulation field has no shortage of debriefing options. Some demand considerable skill which serves as a barrier to more widespread implementation.
A. Cheng +5 more
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