6 search results - page 1 / 2 » An exact analytical solution for discrete barrier options |
FS
2006
13 years 5 months ago
2006
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...
RTAS
1999
IEEE
13 years 9 months ago
1999
IEEE
We present a QoS management framework that enables us to quantitatively measure QoS, and to analytically plan and allocate resources. In this model, end users' quality prefer...
IOR
2006
13 years 5 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
JCPHY
2011
12 years 7 months ago
2011
In this paper, we consider the numerical solution of the Helmholtz equation, arising from the study of the wave equation in the frequency domain. The approach proposed here diffe...
TVCG
2008
13 years 3 months ago
2008
Mesh parameterization is a fundamental technique in computer graphics. The major goals during mesh parameterization are to minimize both the angle distortion and the area distortio...