Results 41 to 50 of about 1,031 (118)
Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation
Journal of Management Science and Engineering, 2017 The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the
Nian Yang, Yanchu Liu, Zhenyu Cui
doaj
Journal of Applied Clinical Medical Physics, Volume 25, Issue 2, February 2024.Abstract Purpose To assess the feasibility of using the diaphragm as a surrogate for liver targets during MDTT. Methods Diaphragm as surrogate for markers: a dome‐shaped phantom with implanted markers was fabricated and underwent dual‐orthogonal fluoroscopy sequences on the Vero4DRT linac. Ten patients participated in an IRB‐approved, feasibility study
Maryam Rostamzadeh +9 more
wiley +1 more source
, 2021 Research and Practice in Thrombosis and Haemostasis, Volume 5, Issue S2, October 2021.
wiley +1 more source
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance, Volume 34, Issue 1, Page 151-189, January 2024.Abstract Overnight rates, such as the Secured Overnight Financing Rate (SOFR) in the United States, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates is the presence of jumps and spikes occurring at predetermined dates due to monetary policy interventions and liquidity constraints.
Claudio Fontana +2 more
wiley +1 more source
A Numerical Scheme Based on Semi-Static Hedging Strategy [PDF]
, 2012 In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier options.
Imamura, Yuri +3 more
core
Smiles all around: FX joint calibration in a multi-Heston model
, 2012 We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining the (semi)-analytical tractability typical of affine models and relying on a
De Col, Alvise +2 more
core +1 more source
"Pricing Barrier and Average Options under Stochastic Volatility Environment" [PDF]
This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach.
Akihiko Takahashi +2 more
core +3 more sources
Molecular Oncology, Volume 19, Issue S1, Page 1-895, June 2025.Abstracts submitted to the ‘EACR 2025 Congress: Innovative Cancer Science’, from 16–19 June 2025 and accepted by the Congress Organising Committee are published in this Supplement of Molecular Oncology, an affiliated journal of the European Association for Cancer Research (EACR).
wiley +1 more source
Option Valuation in Multivariate SABR Models [PDF]
We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the basket to price caps
Jörg Kienitz, Manuel Wittke
core
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
europepmc +1 more source