Correction to: Semi-analytical prices for lookback and barrier options under the Heston model

Discrete Barrier and Lookback Options

Discrete barrier and lookback options are among the most popular path-dependent options in markets. However, due to the discrete monitoring policy almost no analytical solutions are available for them. We shall focus on the following methods for discrete barrier and lookback option prices: (1) Broadie–Yamamoto method based on fast Gaussian transforms. (2) Feng–Linetsky method based on Hilbert t...

Conditional sampling for barrier option pricing under the Heston model

We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and Tan (2006) for the Heston model such that the first uniform variable does not influence the stochastic volatility path and then conditionally modifying its marginals to fulfill the barrier condition...

Monotonicity of Prices in Heston Model

Semi-static Hedging of Barrier Options under Poisson Jumps

We show that the payoff to barrier options can be replicated when the underlying price process is driven by the difference of two independent Poisson processes. The replicating strategy employs simple semi-static positions in co-terminal standard options. We note that classical dynamic replication using just the underlying asset and a riskless asset is not possible in this context. When the und...

the innovation of a statistical model to estimate dependable rainfall (dr) and develop it for determination and classification of drought and wet years of iran

آب حاصل از بارش منبع تأمین نیازهای بی شمار جانداران به ویژه انسان است و هرگونه کاهش در کم و کیف آن مستقیماً حیات موجودات زنده را تحت تأثیر منفی قرار می دهد. نوسان سال به سال بارش از ویژگی های اساسی و بسیار مهم بارش های سالانه ایران محسوب می شود که آثار زیان بار آن در تمام عرصه های اقتصادی، اجتماعی و حتی سیاسی- امنیتی به نحوی منعکس می شود. چون میزان آب ناشی از بارش یکی از مولفه های اصلی برنامه ...