Universitext is a series of textbooks that presents material from a wide variety of
mathematical disciplines at master's level and beyond. The books, often well class-tested by …

Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention
from both the academic field and real world financial markets. However, some popular …

Simple analytical solutions for the prices of discretely monitored barrier options do not yet
exist in the literature. This paper presents a semi-analytical and fully explicit solution for …

Many variable annuity products associated with guaranteed minimum withdrawal benefit
(GMWB) or its lifelong version, a guaranteed lifelong withdrawal benefit (GLWB), have …

Purpose This paper aims to examine the applicability of real options methodology with
respect to developing internal transfer pricing mechanisms. A pervasive theme in existing …

Although many different aspects of debt structures such as bond covenants and repayment
schedules are empirically found to significantly influence values of bonds and equity, many …

In this Article, a fast numerical algorithm for pricing discrete double barrier option is
presented. According to Black–Scholes model, the price of option in each monitoring date …

In this paper, we introduce a new and considerably fast numerical method based on
projection method in pricing discrete double barrier option. According to the Black–Scholes …

Handling discontinuities in financial engineering is a challenging task when using quasi-
Monte Carlo (QMC) method. This paper develops a so-called sequential importance …

Numerical method for pricing discretely monitored double barrier option by orthogonal projection
method Page 1 http://www.aimspress.com/journal/Math AIMS Mathematics, 6(6): 5750–5761 …