PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL

In this paper, we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an explicit matrix Wiener-Hopf factorization. Employing this result we derive explicit expressions for the Laplace-Fourier transforms of the prices and Greeks of barrier options. As a numerical illustration, the prices and Greeks of down-and-in digital and down-and-in call options are calculated for a set of parameters obtained by a simultaneous calibration to Stoxx50E call options across strikes and four different maturities. By comparing the results with Monte-Carlo simulations, we show that the method is fast, accurate, and stable.

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Mean first-passage time calculations: comparison of the deterministic Hill’s algorithm with Monte Carlo simulations

The European Physical Journal B ◽

10.1140/epjb/e2012-20760-8 ◽

2012 ◽

Vol 85 (4) ◽

Cited By ~ 1

Author(s):

M. Torchala ◽

P. Chelminiak ◽

P. A. Bates

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

First Passage Time ◽

Passage Time ◽

Mean First Passage Time ◽

First Passage

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Modeling radon time series on the North Anatolian Fault Zone, Turkiye: Fourier transforms and Monte Carlo simulations

Natural Hazards ◽

10.1007/s11069-020-04200-8 ◽

2020 ◽

Vol 104 (1) ◽

pp. 979-996

Author(s):

Ahmad Muhammad ◽

Fatih Külahcı ◽

Pishtiwan Akram

Keyword(s):

Time Series ◽

Monte Carlo ◽

Monte Carlo Simulations ◽

Fault Zone ◽

Fourier Transforms ◽

North Anatolian Fault ◽

North Anatolian Fault Zone ◽

The North

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First passage probability estimation of wind turbines by Markov Chain Monte Carlo

Structure and Infrastructure Engineering ◽

10.1080/15732479.2012.659739 ◽

2013 ◽

Vol 9 (10) ◽

pp. 1067-1079 ◽

Cited By ~ 8

Author(s):

M.T. Sichani ◽

S.R.K. Nielsen

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Wind Turbines ◽

Probability Estimation ◽

First Passage ◽

First Passage Probability

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Elastodiffusion and cluster mobilities using kinetic Monte Carlo simulations: Fast first-passage algorithms for reversible diffusion processes

Physical Review Materials ◽

10.1103/physrevmaterials.3.103802 ◽

2019 ◽

Vol 3 (10) ◽

Cited By ~ 4

Author(s):

Manuel Athènes ◽

Savneet Kaur ◽

Gilles Adjanor ◽

Thomas Vanacker ◽

Thomas Jourdan

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

Diffusion Processes ◽

Kinetic Monte Carlo ◽

First Passage ◽

Kinetic Monte Carlo Simulations

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Mean First-Passage Times of Looping of Polymers with Intrachain Reactive Monomers: Lattice Monte Carlo Simulations

Macromolecules ◽

10.1021/ma060777y ◽

2006 ◽

Vol 39 (16) ◽

pp. 5540-5545 ◽

Cited By ~ 13

Author(s):

Ting Cui ◽

Jiandong Ding ◽

Jeff Z. Y. Chen

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

First Passage Times ◽

First Passage ◽

Lattice Monte Carlo ◽

Mean First Passage Times ◽

Passage Times

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First-passage time approach to kinetic Monte Carlo simulations of metal (100) growth

Physical Review B ◽

10.1103/physrevb.81.235415 ◽

2010 ◽

Vol 81 (23) ◽

Cited By ~ 17

Author(s):

Giridhar Nandipati ◽

Yunsic Shim ◽

Jacques G. Amar

Keyword(s):

Monte Carlo ◽

Monte Carlo Simulations ◽

Kinetic Monte Carlo ◽

First Passage Time ◽

Passage Time ◽

First Passage ◽

Kinetic Monte Carlo Simulations

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Low-voltage EDS of magnesium ferrite Dendrites in a FEG-SEM

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100164854 ◽

1996 ◽

Vol 54 ◽

pp. 478-479

Author(s):

Matthew T. Johnson ◽

Ian M. Anderson ◽

Jim Bentley ◽

C. Barry Carter

Keyword(s):

Monte Carlo ◽

Quantitative Analysis ◽

Monte Carlo Simulations ◽

Cross Section ◽

Spatial Resolution ◽

Low Voltage ◽

Magnesium Ferrite ◽

X Ray ◽

Interaction Volume ◽

Ferrite Spinel

Energy-dispersive X-ray spectrometry (EDS) performed at low (≤ 5 kV) accelerating voltages in the SEM has the potential for providing quantitative microanalytical information with a spatial resolution of ∼100 nm. In the present work, EDS analyses were performed on magnesium ferrite spinel [(MgxFe1−x)Fe2O4] dendrites embedded in a MgO matrix, as shown in Fig. 1. spatial resolution of X-ray microanalysis at conventional accelerating voltages is insufficient for the quantitative analysis of these dendrites, which have widths of the order of a few hundred nanometers, without deconvolution of contributions from the MgO matrix. However, Monte Carlo simulations indicate that the interaction volume for MgFe2O4 is ∼150 nm at 3 kV accelerating voltage and therefore sufficient to analyze the dendrites without matrix contributions.Single-crystal {001}-oriented MgO was reacted with hematite (Fe2O3) powder for 6 h at 1450°C in air and furnace cooled. The specimen was then cleaved to expose a clean cross-section suitable for microanalysis.

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