Numerical Evaluation of Dynamic Behavior of Ornstein–Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options

J Gotoh, H Jin, U Sumita - Methodology and Computing in Applied …, 2011 - Springer
In financial engineering, one often encounters barrier options in which an action promised in
the contract is taken if the underlying asset value becomes too high or too low. In order to …

[PDF][PDF] Empirical time decay properties of call options prices

D Brozik - International Research Journal of Applied Finance, V, 2014 - researchgate.net
International Research Journal of Applied Finance ISSN 2229 – 6891 Vol. V Issue – 9
September, 2014 Empirical Ti Page 1 International Research Journal of Applied Finance ISSN …

[PDF][PDF] Development of Computational Algorithms for Pricing European Bond Options under the Influence of Macro-economic Conditions

JP HUANG, U Sumita - 2010 - tsukuba.repo.nii.ac.jp
A stochastic process of Vasicek type describing the short rate is considered, where the three
governing parameters {φ, α, σ}, with φ for the market fitting, α for the reversion and σ for the …

Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions

JP Huang, U Sumita - Applied Mathematics and Computation, 2015 - Elsevier
In this paper, a stochastic process of Vasicek type describing the short rate is considered,
where the three governing parameters {ϕ, α, σ}, with ϕ for the market fitting, α for the …

The pricing of barrier options with stepwise volatility functions

JIN Hui - 인하대학교 정석물류통상연구원 학술대회, 2009 - dbpia.co.kr
As a first stage of approximation the bivariate process of the Heston model for the purpose of
exotic option pricing, this paper focuses on the birth-death process approximation of the …