منابع مشابه
A Barrier Option of American Type
We obtain closed–form expressions for the prices and optimal hedging strategies of American put–options in the presence of an “up–and–out” barrier, both with and without constraints on the short–selling of stock. The constrained case leads to a stochastic optimization problem of mixed optimal stopping/singular control type. This is reduced to a variational inequality which is then solved explic...
متن کاملthe investigation of the relationship between type a and type b personalities and quality of translation
چکیده ندارد.
Barrier Option Pricing
This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...
متن کاملNumerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...
متن کاملAmerican Option Approximations
Though an analytical solution for the value of a European option in the context of the Black-Scholes model is more than 30 years old, a corresponding solution for American options has troubled practitioners and academics alike. In 2006, an analytical solution was presented for puts, however, this solution is computationally complex, requiring symbolic algebra packages, that make it impractical ...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2000
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s002450010013