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Comparative effectiveness and dose–response relationship of exercise-based interventions for muscle mass in older women with sarcopenia: a systematic review and network meta-analysis [PDF]
Frontiers in MedicineBackgroundExercise and nutrition are the principal non-pharmacological strategies for sarcopenia, but the relative effects of different exercise combinations and the dose required to improve muscle mass in older women remain uncertain.
Xinyi Gou +5 more
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Pricing Multidimensional American Options
International Journal of Financial Studies, 2023 A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are
Elettra Agliardi, Rossella Agliardi
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Discrete Dynamics in Nature and Society, 2021 This paper investigates a numerical method for solving fractional partial integro-differential equations (FPIDEs) arising in American Contingent Claims, which follow finite moment log-stable process (FMLS) with jump diffusion and regime switching ...
Congyin Fan, Peimin Chen
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Axioms, 2023 The trade-off between numerical accuracy and computational cost is always an important factor to consider when pricing options numerically, due to the inherent irregularity and existence of non-linearity in many models.
Chinonso Nwankwo, Weizhong Dai
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On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model
Mathematics, 2020 We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
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Axioms, 2023 In this research, we propose fourth-order non-uniform Hermitian differencing with a fifth-order adaptive time integration method for pricing system of free boundary exotic power put options consisting of the option value, delta sensitivity, and gamma ...
Chinonso Nwankwo, Weizhong Dai
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Perpetual American Cancellable Standard Options in Models with Last Passage Times
Algorithms, 2020 We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black–Merton–Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price ...
Pavel V. Gapeev, Libo Li, Zhuoshu Wu
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A Simple Numerical Method for Pricing an American Put Option
Journal of Applied Mathematics, 2013 We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary.
Beom Jin Kim, Yong-Ki Ma, Hi Jun Choe
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Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning
Mathematics, 2020 Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the underlying ...
Bernardo D’Auria +2 more
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Asymptotic analysis of American call options
International Journal of Mathematics and Mathematical Sciences, 2001 American call options are financial derivatives that give the holder the right but not the obligation to buy an underlying security at a pre-determined price.
Ghada Alobaidi, Roland Mallier
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