Matches in SemOpenAlex for { <https://semopenalex.org/work/W2907348692> ?p ?o ?g. }
Showing items 1 to 59 of
59
with 100 items per page.
- W2907348692 abstract "We develop novel methods for efficient analytical solution of all types of partial time barrier options with both single and double exponential and time varying boundaries, and specifically to treat forward-starting partial double barrier options, which present the simplest non-trivial example of the multiple exponential time-varying barrier case. Our methods reduce the pricing of all barrier options with time-varying boundaries to the pricing of a single European option. We express our novel results solely in terms of European first and second order Gap options. We are motivated by similar structures appearing in Structural Credit Risk models for firm default." @default.
- W2907348692 created "2019-01-11" @default.
- W2907348692 creator A5059123862 @default.
- W2907348692 date "2018-01-01" @default.
- W2907348692 modified "2023-09-23" @default.
- W2907348692 title "Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries" @default.
- W2907348692 hasPublicationYear "2018" @default.
- W2907348692 type Work @default.
- W2907348692 sameAs 2907348692 @default.
- W2907348692 citedByCount "0" @default.
- W2907348692 crossrefType "posted-content" @default.
- W2907348692 hasAuthorship W2907348692A5059123862 @default.
- W2907348692 hasConcept C10138342 @default.
- W2907348692 hasConcept C126255220 @default.
- W2907348692 hasConcept C134306372 @default.
- W2907348692 hasConcept C151376022 @default.
- W2907348692 hasConcept C162324750 @default.
- W2907348692 hasConcept C182306322 @default.
- W2907348692 hasConcept C2776631005 @default.
- W2907348692 hasConcept C33923547 @default.
- W2907348692 hasConcept C41008148 @default.
- W2907348692 hasConcept C49016629 @default.
- W2907348692 hasConceptScore W2907348692C10138342 @default.
- W2907348692 hasConceptScore W2907348692C126255220 @default.
- W2907348692 hasConceptScore W2907348692C134306372 @default.
- W2907348692 hasConceptScore W2907348692C151376022 @default.
- W2907348692 hasConceptScore W2907348692C162324750 @default.
- W2907348692 hasConceptScore W2907348692C182306322 @default.
- W2907348692 hasConceptScore W2907348692C2776631005 @default.
- W2907348692 hasConceptScore W2907348692C33923547 @default.
- W2907348692 hasConceptScore W2907348692C41008148 @default.
- W2907348692 hasConceptScore W2907348692C49016629 @default.
- W2907348692 hasLocation W29073486921 @default.
- W2907348692 hasOpenAccess W2907348692 @default.
- W2907348692 hasPrimaryLocation W29073486921 @default.
- W2907348692 hasRelatedWork W1502495052 @default.
- W2907348692 hasRelatedWork W1603426715 @default.
- W2907348692 hasRelatedWork W19259067 @default.
- W2907348692 hasRelatedWork W1972412270 @default.
- W2907348692 hasRelatedWork W1985195564 @default.
- W2907348692 hasRelatedWork W2011575244 @default.
- W2907348692 hasRelatedWork W2016543572 @default.
- W2907348692 hasRelatedWork W2025228508 @default.
- W2907348692 hasRelatedWork W2091268588 @default.
- W2907348692 hasRelatedWork W21005579 @default.
- W2907348692 hasRelatedWork W2102980633 @default.
- W2907348692 hasRelatedWork W2266892600 @default.
- W2907348692 hasRelatedWork W2360964940 @default.
- W2907348692 hasRelatedWork W2811063428 @default.
- W2907348692 hasRelatedWork W3000156299 @default.
- W2907348692 hasRelatedWork W3003653832 @default.
- W2907348692 hasRelatedWork W3123209934 @default.
- W2907348692 hasRelatedWork W3123323197 @default.
- W2907348692 hasRelatedWork W3123824630 @default.
- W2907348692 hasRelatedWork W53033108 @default.
- W2907348692 isParatext "false" @default.
- W2907348692 isRetracted "false" @default.
- W2907348692 magId "2907348692" @default.
- W2907348692 workType "article" @default.