This paper discusses a new pricing method of European options through the binomial tree model using discrete cosine transform. The transform has been used as fundamental tool for image compression, including creation JPEG files. A was also recently to derive price financial options. enables us option prices model. Using this approach, we on classical Black and Scholes, exponential jump–diffusio...

We study the Option pricing with linear investment strategy based on discrete time trading of underlying security, which unlike existing continuous models provides a feasible real market implementation. Closed form formulas for Call and Put price are established fixed interest rates their extensions to stochastic Vasicek Hull-White rates.

During the last decade, financial models have acquired increasing popularity in option pricing. The valuation of different types of option contracts is very important in modern financial theory and practice – vanilla and especially exotic options have become very popular speculation instruments in recent years. The problem of determining the fair price of such an option is standardly formulated...

In this paper, we extend the concept of control barrier functions, developed initially for continuous time systems, to the discrete-time domain. We demonstrate safety-critical control for nonlinear discrete-time systems with applications to 3D bipedal robot navigation. Particularly, we mathematically analyze two different formulations of control barrier functions, based on their continuous-time...

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE characterization of the super-hedging price. This extends the result of Broadie, Cvitanic and Soner (...