Results 301 to 310 of about 5,203,807 (351)
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Theory of Probability & Its Applications, 1995
An option of the American type with the payment function \[ f_t= e^{- \lambda t} \Biggl[ \int^t_0 S_u du+ s\psi_0\Biggr] \] (where \(\lambda> 0\), \(\psi_0\geq 0\) are constants, \(s= S_0\)) is considered in a diffusion model of a BS-market consisting of two assets: a riskless bank account \(B= (B_t)_{t\geq 0}\), and a stock \(S= (S_t)_{t\geq 0 ...
Kramkov, D. O., Mordecki, E.
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An option of the American type with the payment function \[ f_t= e^{- \lambda t} \Biggl[ \int^t_0 S_u du+ s\psi_0\Biggr] \] (where \(\lambda> 0\), \(\psi_0\geq 0\) are constants, \(s= S_0\)) is considered in a diffusion model of a BS-market consisting of two assets: a riskless bank account \(B= (B_t)_{t\geq 0}\), and a stock \(S= (S_t)_{t\geq 0 ...
Kramkov, D. O., Mordecki, E.
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Parallel option pricing on GPU: barrier options and realized variance options
The Journal of Supercomputing, 2012This paper shows two examples of how the analysis of option pricing problems can lead to computational methods efficiently implemented in parallel. These computational methods outperform “general purpose” methods (i.e., for example, Monte Carlo, finite differences methods).
Lorella Fatone +4 more
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Mathematical Finance, 1999
Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: step options. They are parametrized by a finite knock‐out (knock‐in) rate, ρ.
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Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: step options. They are parametrized by a finite knock‐out (knock‐in) rate, ρ.
openaire +1 more source
Nursing Management, 2011
Practitioners at all levels can plan their future career options through the NHS Nursing Career Framework interactive tool. The tool builds on the pathway-based framework set out in the post-registration career framework for nurses. Career pathways are outlined under each branch and the specialties within the branches, and cover topics including ...
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Practitioners at all levels can plan their future career options through the NHS Nursing Career Framework interactive tool. The tool builds on the pathway-based framework set out in the post-registration career framework for nurses. Career pathways are outlined under each branch and the specialties within the branches, and cover topics including ...
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Energy Policy, 1990
This paper examines the status of and prospects for renewable energy technologies. Wind energy is taken as an example of the negative myths which impede renewable energy developments. The paper then emphasises the great diversity in renewables: different technologies are at very different stages of development, and are suited to different countries ...
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This paper examines the status of and prospects for renewable energy technologies. Wind energy is taken as an example of the negative myths which impede renewable energy developments. The paper then emphasises the great diversity in renewables: different technologies are at very different stages of development, and are suited to different countries ...
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Asian Options versus Vanilla Options
SSRN Electronic Journal, 2007While it is commonly believed that an Asian option is always cheaper than its plain vanilla European counterpart, this paper shows that this notion is false. By deriving the lower bounds on Asian option prices as volatility goes to zero and comparing them to the lower bounds of vanilla European option prices, it can be proved that this notion may be ...
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