In this paper,we consider theCOSmethod for pricing European andBermudan options under the stochastic alpha beta rho (SABR) model. In the COS pricing method, we make use of the characteristic function of the discrete forward process. We observe second-order convergence by using a second-order Taylor scheme in the discretization, or by using Richardson extrapolation in combination with a Euler–Ma...

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for th...

one of the most important parts of power transmission in automotives is c.v. joint, which consists of four components where exterior bowl is one of them. due to its complexity, and importance in automobile and existence of high stresses, forging process is the only cost effective method of production. hence, the best method of production of this part is forging process. the exterior part of c.v...

In this paper, which is a substantial extension of an earlier essay [3], we give an overview of some recent work on the geometric properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. • When is a given forward rate model consistent with a given family of forward rate curves? • When can the inherently infinite di...

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we rst show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for the ...