This paper develops methods for relating the prices of discreteand continuous-time versions of path-dependent options sensitive to extremal values of the underlying asset, including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be interpreted as shifting a barrier, a strike, or an extremal price. These correction terms enable us to use cl...

This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility ...

Timer options are barrier style options in the volatility space. A typical timer option is similar to its European vanilla counterpart, except with uncertain expiration date. The finite-maturity timer option expires either when the accumulated realized variance of the underlying asset has reached a pre-specified level or on the mandated expiration date, whichever comes earlier. The challenge in...

A semi-static replication method is introduced for pricing discretely sampled path-dependent options. It depends upon buying and selling options at the reset times of the option but does not involve trading at intervening times. The method is model independent in that it only depends upon the existence of a pricing function for vanilla call options which depends purely on current time, time to ...

A comprehensive study of Schottky barrier MOSFET (SBMOSFET) scaling issue is performed to determine the role of wafer orientation and structural parameters on the performance of this device within Non-equilibrium Green's Function formalism. Quantum confinement increases the effective Schottky barrier height (SBH). (100) orientation provides lower effective Schottky barrier height in compa...

a comprehensive study of schottky barrier mosfet (sbmosfet) scaling issue is performed to determine the role of wafer orientation and structural parameters on the performance of this device within non-equilibrium green's function formalism. quantum confinement increases the effective schottky barrier height (sbh). (100) orientation provides lower effective schottky barrier height in comparison ...