The payoffs of the barrier options depend on the time path of the underlying price as opposed to just the price at expiry. It implies that both the boundary conditions and the initial condition are imposed on the Black-Scholes partial differential equation. Therefore, the valuation of the barrier options is a boundary value problem. Since the Black-Scholes equation can be converted into a homog...

Here we develop an option pricing method for European options based on the Fourier-cosine series, and call it the COS method. The convergence rate of the COS method is exponential and the computational complexity is linear. It has a wide range of applicability for different underlying dynamics, including Lévy processes and Heston’s stochastic volatility model, and for various types of option co...

For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan. By means of the Incomplete Fourier Transform, the pricing problem is solved in order to find integral representations of the...

We study the optimal liquidation strategy for a call spread in the case when the market uses an over-estimated volatility to price options. The problem is formulated as an optimal stopping problem, which we solve explicitly.

This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246–256] to a multi-asset setting to deal with a portfolio of options and underlying assets. General linear programming model is given and it is applied to Novartis, Sanofi and AstraZeneca’s call and put options. A portfol...

We study the short-time aymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with short maturity in a semimartingale model: whereas the behavior of out-of-the-mone...

In this paper, we apply Carr’s randomization approximation and the operator form of theWiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual contingent claims with first-touch sing...

This specification defines conferencing call control features for the Session Initiation Protocol (SIP). This document builds on the Conferencing Requirements and Framework documents to define how a tightly coupled SIP conference works. The approach is explored from the perspective of different user agent (UA) types: conferenceunaware, conference-aware, and focus UAs. The use of Uniform Resourc...

background: call center sector in india is a relatively new and fast growing industry driving employment and growth in modern india today. most international call centers in national capital region (ncr) of delhi operate at odd work hours corresponding to a time suitable for their international customers. the sleep quality of call handlers employed in these call centers is in jeopardy owing to ...