In this communication, we discuss some properties of a class of path dependent options based on the α-quantiles of Brownian motion. In particular we show that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options
Lookback-style derivatives are contingent claims whose payoff depends on the extremum value of some ...
We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-qu...
A barrier option is one of the most popular exotic options which designed to give a protection again...
This paper provides a survey of results on the quantiles of a Brownian motion with drift as well as ...
Pricing single asset American options is a hard problem in mathematical finance. There are no closed...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
[Slavova Angela; Славова Анжела]; [Kyurkchiev Nikolay; Кюркчиев Николай]In this we suppose that the ...
The Brownian Motion of visible particles suspended in a fluid led to one of the first accurate det...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
American option pricing is an important and engaging area of financial economics, particularly so in...
The main results of this paper are the derivation of the distribution functions of occupation times ...
In the present paper, we address the evaluation problem of multidimensional financial options. We ap...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
Lookback-style derivatives are contingent claims whose payoff depends on the extremum value of some ...
We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-qu...
A barrier option is one of the most popular exotic options which designed to give a protection again...
This paper provides a survey of results on the quantiles of a Brownian motion with drift as well as ...
Pricing single asset American options is a hard problem in mathematical finance. There are no closed...
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pri...
[Slavova Angela; Славова Анжела]; [Kyurkchiev Nikolay; Кюркчиев Николай]In this we suppose that the ...
The Brownian Motion of visible particles suspended in a fluid led to one of the first accurate det...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
In this paper, we introduce Brownian motion, and some of its drawbacks in connection to the financia...
American option pricing is an important and engaging area of financial economics, particularly so in...
The main results of this paper are the derivation of the distribution functions of occupation times ...
In the present paper, we address the evaluation problem of multidimensional financial options. We ap...
We study the joint law of Parisian time and hitting time of a drifted Brownian motion by using a thr...
Lookback-style derivatives are contingent claims whose payoff depends on the extremum value of some ...
We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-qu...
A barrier option is one of the most popular exotic options which designed to give a protection again...
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