搜索结果: 1-13 共查到“知识库 barrier”相关记录13条 . 查询时间(0.034 秒)
COST SHOULD BE NO BARRIER: AN EVALUATION OF THE FIRST YEAR OF HARVARD’S FINANCIAL AID INITIATIVE
Inspiration data financial assistance financial needs finance
2015/7/20
We, the authors, could not have completed this study without inspiration, expertise, and a great deal of data from Harvard’s Office of Admissions and Financial Aid, which has shown unswerving commitme...
Corruption as a Barrier to Entry: Theory and Evidence
Corruption entry barriers Theory Evidence
2014/11/27
Conventional wisdom depicts corruption as a tax on incumbent firms. This paper challenges this view in two ways. First, by arguing that corruption matters not so much because of the value of the bribe...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
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 T...
Digital double barrier options: Several barrier periods and structure floors
Double barrier option tructure floor occupation time corridor option.
2012/9/14
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
Approximating European Options by Rebate Barrier Options
European options Financial bubbles Local martingales Truncation approximation Convergence rate Barrier options
2011/3/23
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In ...
Pricing of barrier options by marginal functional quantization
Pricing barrier options marginal functional quantization
2011/1/4
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar ...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions exit problem Lévy processes
2010/4/27
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute t...
Binomial Approximations for Barrier Options of Israeli Style
barrier game options Dynkin games shortfall risk binomial approximations Skorokhod embedding
2010/11/1
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black–Scholes (BS) market converge to the corresponding quantities for similar...
Continuously monitored barrier options under Markov processes
Continuously monitored barrier options Markov processes
2010/11/2
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely...
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler t...