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  • Wiley-Blackwell  (7)
  • Blackwell Publishers, Inc.  (2)
  • 1
    Electronic Resource
    Electronic Resource
    QUANTO LOOKBACK OPTIONS (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The lookback feature in a quanto option refers to the payoff structure where the terminal payoff of the quanto option depends on the realized extreme value of either the stock price or the exchange rate. In this paper, we study the pricing models of European and American lookback options with the quanto feature. The analytic price formulas for two types of European-style quanto lookback options are derived. The success of the analytic tractability of these quanto lookback options depends on the availability of a succinct analytic representation of the joint density function of the extreme value and terminal value of the stock price and exchange rate. We also analyze the early exercise policies and pricing behaviors of the quanto lookback options with the American feature. The early exercise boundaries of these American quanto lookback options exhibit properties that are distinctive from other two-state American option models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00199.x
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  • 2
    Electronic Resource
    Electronic Resource
    OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT (2004)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishers, Inc.
    Mathematical finance 14 (2004), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The reset right embedded in an option contract is the privilege given to the option holder to reset certain terms in the contract according to specified rules at the moment of shouting, where the time to shout is chosen optimally by the holder. For example, a shout option with strike reset right entitles its holder to choose the time to take ownership of an at-the-money option. This paper develops the theoretical framework of analyzing the optimal shouting policies to be adopted by the holder of an option with reset right on the strike price. It is observed that the optimal shouting policy depends on the time dependent behaviors of the expected discounted value of the at-the-money option received upon shouting. During the time period when the theta of the expected discounted value of the new option received is positive, it is never optimal for the holder to shout at any level of asset value. At those times when the theta is negative, we show that there exists a threshold value for the asset price above which the holder of a reset put option should shout optimally. For the shout floor, we obtain an analytic representation of the price function. For the reset put option, we derive the integral representation of the shouting right premium and analyze the asymptotic behaviors of the optimal shouting boundaries at time close to expiry and infinite time from expiry. We also provide numerical results for the option values and shouting boundaries using the binomial scheme and recursive integration method. Accuracy and run time efficiency of these two numerical schemes are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00196.x
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  • 3
    Electronic Resource
    Electronic Resource
    Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations (1993)
    Chichester : Wiley-Blackwell
    Communications in Numerical Methods in Engineering 9 (1993), S. 595-605 
    Details
    ISSN: 1069-8299
    Keywords: Engineering ; Engineering General
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics , Technology
    Notes: A systematic procedure is presented to derive stability conditions for leap-frog-type finite-difference schemes for the multidimensional constant-coefficient convective-diffusion equation. The treatise includes von Neumann stability analysis for pure initial-value problems and matrix stability analysis for Dirichlet boundary-value problems. Discrepancies on time-step restriction between von Neumann stability analysis and matrix stability analysis are observed.
    Additional Material: 1 Tab.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1002/cnm.1640090707
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  • 4
    Electronic Resource
    Electronic Resource
    Linearized stability analysis of staggered-grid difference schemes for multidimensional viscous incompressible flows (1993)
    New York, NY [u.a.] : Wiley-Blackwell
    Numerical Methods for Partial Differential Equations 9 (1993), S. 313-322 
    Details
    ISSN: 0749-159X
    Keywords: Mathematics and Statistics ; Numerical Methods
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics
    Notes: This paper presents a systematic linearized (frozen coefficient) von Neumann stability analysis for various staggered-grid marker-and-cell (MAC) finite difference schemes for solving viscous incompressible fluid flows. These schemes employ the primitive variables formulation and require the velocity field to be divergent free at every time step. It is illustrated that the stability results for staggered-grid MAC schemes are similar to that for the multidimensional convective-diffusion equation with constant coefficients. © 1993 John Wiley & Sons, Inc.
    Additional Material: 1 Ill.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1002/num.1690090308
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  • 5
    Electronic Resource
    Electronic Resource
    Fractional step algorithm for solving a multi-dimensional diffusion-migration equation (1995)
    New York, NY [u.a.] : Wiley-Blackwell
    Numerical Methods for Partial Differential Equations 11 (1995), S. 389-397 
    Details
    ISSN: 0749-159X
    Keywords: Mathematics and Statistics ; Numerical Methods
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics
    Notes: The earlier fractional step algorithm for solving the diffusion-migration equation in electrochemistry is extended to a multi-dimensional multi-species system with second-order spatial accuracy. For each time-step increment, the algorithm consists of three stages: (i) diffusion, (ii) satisfaction of the electroneutrality constraint, and (iii) migration. Each stage accounts for one individual physical process. Exact analytical solutions are derived for a two-species system and comparisons between exact and numerical results are made. Numerical results are also obtained for a two-dimensional three-species electrochemical model. © 1995 John Wiley & Sons, Inc.
    Additional Material: 4 Ill.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1002/num.1690110407
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  • 6
    Electronic Resource
    Electronic Resource
    Accuracy and stability analysis of numerical schemes for the shallow water model (1996)
    New York, NY [u.a.] : Wiley-Blackwell
    Numerical Methods for Partial Differential Equations 12 (1996), S. 85-98 
    Details
    ISSN: 0749-159X
    Keywords: Mathematics and Statistics
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics
    Notes: The accuracy and stability properties of several two-level and three-level difference schemes for solving the shallow water model are analyzed by the linearized Fourier Method. The effects of explicit or implicit treatments of the gravity, Coriolis, convective and friction terms on accuracy and stability are examined. The use of Miller's properties on von Neumann polynomial plays a crucial role to resolve the tedious mathematical procedures in the Fourier analysis. As a best compromise between efficiency and stability, we recommend the semi-implicit schemes, where the surface elevation and friction terms are treated implicitly while the convective and Coriolis terms are treated explicitly. © 1996 John Wiley & Sons, Inc.
    Additional Material: 1 Ill.
    Type of Medium: Electronic Resource
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  • 7
    Electronic Resource
    Electronic Resource
    Convergence analysis of a staggered pressure correction scheme for viscous incompressible flows (1997)
    New York, NY [u.a.] : Wiley-Blackwell
    Numerical Methods for Partial Differential Equations 13 (1997), S. 459-482 
    Details
    ISSN: 0749-159X
    Keywords: Convergence analysis ; pressure correction scheme ; viscous incompressible flows ; Mathematics and Statistics
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics
    Notes: This article performs the convergence analysis of a staggered pressure correction scheme for solving unsteady viscous incompressible flows in a bounded domain using the energy method. Error estimates for the numerical velocity field of the difference scheme are established. The analysis adopts the method of bounded truncation functions as advocated by Arnold et al. © 1997 John Wiley & Sons, Inc. Numer Methods Partial Differential Eq 13: 459-482, 1997
    Type of Medium: Electronic Resource
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  • 8
    Electronic Resource
    Electronic Resource
    Padé and upwinding finite difference schemes for the quantum mechanical equation of motion (1991)
    New York, NY [u.a.] : Wiley-Blackwell
    Communications in Applied Numerical Methods 7 (1991), S. 639-647 
    Details
    ISSN: 0748-8025
    Keywords: Engineering ; Engineering General
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics , Technology
    Notes: A systematic approach is presented to search for a two-level six-point finite difference of Padé type for the numerical solution of the quantum mechanical equation of motion. A family of second order accurate Pade schemes is obtained and the stability properties are analysed by the von Neumann and matrix methods. Also, a similar stability analysis is also performed for a family of two-level first order accurate upwinding difference schemes by the von Neumann and matrix methods. Discrepancies between the stability results obtained by the von Neumann and matrix methods are observed.
    Additional Material: 1 Ill.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1002/cnm.1630070811
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  • 9
    Electronic Resource
    Electronic Resource
    Location and structure of the nearest singularity of a perturbation series (1991)
    New York, NY [u.a.] : Wiley-Blackwell
    Communications in Applied Numerical Methods 7 (1991), S. 19-28 
    Details
    ISSN: 0748-8025
    Keywords: Engineering ; Engineering General
    Source: Wiley InterScience Backfile Collection 1832-2000
    Topics: Mathematics , Technology
    Notes: The incompressible potential flow over a perturbed body is used as a model to shed light into the nature of the nearest singularity of a perturbation series. The solutions for various physical quantities are developed as a formal perturbation expansion in powers of a parameter up to 30 terms. The tedious computation is relegated to a computer. The calculations reveal that the location and structure of the nearest singularity of a pertubation series do change with the field point at the which the series is evaluated. Also the radius of convergence and behaviour of the perturbation series do depend significantly on the choice of the physical quantities. These results may provide salutary information for the analysis of computer extended pertubation series.
    Additional Material: 3 Ill.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1002/cnm.1630070104
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