Results 21 to 30 of about 55,719 (269)

Efficient option valuation of single and double barrier options [PDF]

AIP Conference Proceedings, 2017
In this paper we present an implementation of pricing algorithm for single and double barrier options using Mellin transformation with Maximum Entropy Inversion and its suitability for real-world applications. A detailed analysis of the applied algorithm is accompanied by implementation in C++ that is then compared to existing solutions in terms of ...
Stanimir Kabaivanov, Mariyan Milev, Dessislava Koleva-Petkova, Veselin Vladev   +3 more
openaire   +1 more source

Optimal control of European double barrier basket options [PDF]

Journal of Numerical Mathematics, 2011
Summary: We consider European double barrier basket call options on two underlyings with an upper and a lower knock-out barrier featuring a finite number of cash settlements at prespecified values of the underlyings between the strike and the upper barrier.
Hoppe, Ronald H. W. (Prof. Dr.), Lipp, Tobias   +1 more
openaire   +4 more sources

DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS [PDF]

International Journal of Theoretical and Applied Finance, 2013
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital ...
SÜHAN ALTAY, STEFAN GERHOLD, RAINER HAIDINGER, KARIN HIRHAGER   +3 more
openaire   +4 more sources

Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment [PDF]

Mathematics and Modeling in Finance
Option pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level.
Behzad Abbasi, Kazem Nouri
doaj   +1 more source

Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices

Journal of Taibah University for Science, 2017
In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This kind of options may match with risk hedging needs more closely than standard options.
Kazem Nouri, Behzad Abbasi
doaj   +1 more source

Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes

Karpatsʹkì Matematičnì Publìkacìï, 2018
The theoretical bases of this paper are the theory of spectral analysis and the theory of singular and regular perturbations. We obtain an approximate price of Ornstein-Uhlenbeck double barrier options with multidimensional stochastic diffusion as ...
I.V. Burtnyak, H.P. Malytska
doaj   +1 more source

Contraceptive Access at Federally Qualified Health Centers During the South Carolina Choose Well Initiative: A Qualitative Analysis of Staff Perceptions and Experiences

Women's Health Reports, 2021
Introduction: Federally qualified health centers (FQHCs) provide essential contraceptive services to low-income individuals; yet, access to all method options, notably intrauterine devices (IUDs) and implants, may be limited at non-Title X FQHCs.
Liane M. Ventura, Kate E. Beatty, Amal J. Khoury, Michael G. Smith, Oluwatosin Ariyo, Deborah L. Slawson, Amy J. Weber   +6 more
doaj   +1 more source

Structural and Mechanistic Bases of Viral Resistance to HIV-1 Capsid Inhibitor Lenacapavir

mBio, 2022
Lenacapavir (LEN) is a long-acting, highly potent HIV-1 capsid (CA) inhibitor. The evolution of viral variants under the genetic pressure of LEN identified Q67H, N74D, and Q67H/N74D CA substitutions as the main resistance associated mutations (RAMs ...
Stephanie M. Bester, Daniel Adu-Ampratwum, Arun S. Annamalai, Guochao Wei, Lorenzo Briganti, Bridget C. Murphy, Reed Haney, James R. Fuchs, Mamuka Kvaratskhelia   +8 more
doaj   +1 more source

PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH [PDF]

Mathematical Finance, 1996
Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single‐barrier option, the valuation problem is not very difficult (see Merton 1973 and Goldman, Sosin, and Gatto 1979).
Geman, Hélyette, Yor, Marc
openaire   +1 more source

The Boyle–Romberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing

Mathematics
Oscillations in option price convergence have long been a problematic aspect of tree methods, inhibiting the use of repeated Richardson extrapolation that could otherwise greatly accelerate convergence, a feature integral to some of the most efficient ...
Guillaume Leduc
doaj   +1 more source