Browsing 01 Mathematical Sciences by Author "Konstandatos Otto"

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Browsing 01 Mathematical Sciences by Author "Konstandatos Otto"

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  • A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries 
    Buchen Peter; Konstandatos Otto (Routledge, 2009)
    We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an ...
  • A new method of pricing lookback options 
    Buchen Peter; Konstandatos Otto (Wiley-Blackwell, 2005)
    A new method for pricing lookback options (a.k.a.hindsightoptions) is presented, which simplifies the derivation of analytical formulas for this class of exotics in the Black-Scholes framework. Underlying the method is the ...
  • Some recent developments in the theory of Lie group symmetries for PDEs 
    Craddock Mark; Konstandatos Otto; Lennox Kelly (Nova Publishing, 2009)
    Lie group symmetry methods provide a powerful tool for the analysis of PDEs. Over the last thirty years, considerable progress has been made in the development of this field. In this article, we provide a brief introduction ...
  • Two exotic lookback options 
    Bermin Hans-Peter; Buchen Peter; Konstandatos Otto (Routledge, 2008)
    This paper formally analyses two exotic options with lookback features, referred to as extreme spread lookback options and look-barrier options, first introduced by Bermin. The holder of such options receives partial ...