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  • 1
    Digitale Medien
    Digitale Medien
    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
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00196.x
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  • 2
    Digitale Medien
    Digitale Medien
    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
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Mathematik , Wirtschaftswissenschaften
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.0960-1627.2004.00199.x
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  • 3
    Digitale Medien
    Digitale Medien
    Singularities In Gravity Computation For Vertical Cylinders and Prisms (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Geophysical journal international 104 (1991), S. 0 
    Details
    ISSN: 1365-246X
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Geologie und Paläontologie
    Notizen: An efficient formulation using conjugate complex variables is presented to compute the vertical gravity and its higher order derivatives for vertical cylindrical and prismatic bodies with uniform density at all points in space. the volume integrations over the bodies are reduced to line integrals around the bounding cross-sectional curves of the bodies. Residue theory and theory of singularities are used to treat the singularities in the integral formulae for computing gravity effects due to the bodies. the paper includes the considerations of the field point being inside, on the boundary or outside the bodies. Sample calculations are performed to obtain vertical gravity and its various gradient tensor elements for a vertical elliptic cylinder and a polygonal prism. the studies will be useful to simulate the gravity field effects due to mass disturbances caused by drilling and casing of a well bore in borehole gravimetry and gradiometry, and the quantitative interpretation of gravity anomalies.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1365-246X.1991.tb02490.x
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  • 4
    Digitale Medien
    Digitale Medien
    GRAVITY GRADIENT TENSORS DUE TO A POLYHEDRON WITH POLYGONAL FACETS1 (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Geophysical prospecting 39 (1991), S. 0 
    Details
    ISSN: 1365-2478
    Quelle: Blackwell Publishing Journal Backfiles 1879-2005
    Thema: Geologie und Paläontologie , Physik
    Notizen: Using the conjugate complex variables formulation, closed-form formulae for the gravity gradient tensors of the gravitational potential due to a homogeneous polyhedral body composed of polygonal facets are derived. The treatise considers the cases of the observation point being inside the polyhedron, on the surface of a facet, or outside the polyhedron.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1111/j.1365-2478.1991.tb00320.x
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  • 5
    Digitale Medien
    Digitale Medien
    Frequency domain expressions for surface and borehole gravity potential due to two- and three-dimensional mass models (1992)
    Springer
    Pure and applied geophysics 139 (1992), S. 241-253 
    Details
    ISSN: 1420-9136
    Schlagwort(e): Fourier transform ; surface and borehole gravity
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Geologie und Paläontologie , Physik
    Notizen: Abstract Frequency domain expressions for surface and borehole gravity potential due to selected two- and three-dimensional mass models with linear variation of density are derived using conjugate complex variables formulation. The mass models include elliptical bodies, vertical and horizontal polygonal prisms, polyhedral bodies and bodies with rotational symmetry. Such analytic expressions are essential for development of interpretative theory for surface and borehole gravity data in the Fourier domain.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF00876329
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  • 6
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): Engineering ; Engineering General
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik , Technik allgemein
    Notizen: 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.
    Zusätzliches Material: 1 Tab.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1002/cnm.1640090707
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  • 7
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): Engineering ; Engineering General
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik , Technik allgemein
    Notizen: 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.
    Zusätzliches Material: 1 Ill.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1002/cnm.1630070811
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  • 8
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): Mathematics and Statistics
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik
    Notizen: 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.
    Zusätzliches Material: 1 Ill.
    Materialart: Digitale Medien
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  • 9
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): Mathematics and Statistics ; Numerical Methods
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik
    Notizen: 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.
    Zusätzliches Material: 1 Ill.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1002/num.1690090308
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  • 10
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): Mathematics and Statistics ; Numerical Methods
    Quelle: Wiley InterScience Backfile Collection 1832-2000
    Thema: Mathematik
    Notizen: 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.
    Zusätzliches Material: 4 Ill.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1002/num.1690110407
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