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Function add.generator [DOBAD v1.0.6]
keywords
math
title
Generating functions for birth-death processes with immigration
description
A set of generating functions for sufficient statistics for partially observed birth-death process with immigration. The sufficient statistcs are the number of births and immigrations, the mean number of deaths, and the time average of the number of particles.
Function add.joint.mean.many [DOBAD v1.0.6]
keywords
math
title
Mean counts and particle time averages for birth-death processes with immigration
description
A set of functions for calculating the joint and conditional mean sufficient statistics for partially observed birth-death process with immigration. The sufficient statistcs are the number of births and immigrations, the mean number of deaths, and the time average of the number of particles. The conditional expectations of these quantities are calculated for a finite time interval, conditional on the number of particles at the beginning and the end of the interval.
Function birth.death.simulant [DOBAD v1.0.6]
keywords
math
title
Simulation of birth-death processes with immigration
description
A set of functions for simulating and summarizing birth-death simulations
Function AsianOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Asian Options
description
This is a collection of functions to valuate asian options. Asian options are path-dependent options, with payoffs that depend on the average price of the underlying asset or the average exercise price. There are two categories or types of Asian options: average rate options (also known as average price options) and average strike options. The payoffs depend on the average price of the underlying asset over a predetermined time period. An average is less volatile than the underlying asset, therefore making Asian options less expensive than standard European options. Asian options are commonly used in currency and commodity markets. Asian options are of interest in markets with thinly traded assets. Due to the little effect it will have on the option's value, options based on an average, such as Asian options, have a reduced incentive to manipulate the underlying price at expiration. The functions are: GeometricAverageRateOption Geometric Average Rate Option, TurnbullWakemanAsianApproxOption Turnbull and Wakeman's Approximation,
Function BarrierOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Barrier Options
description
A collection and description of functions to valuate barrier options. Barrier options are path-dependent options, with payoffs that depend on the price of the underlying asset at expiration and whether or not the asset price crosses a barrier during the life of the option. There are two categories or types of Barrier options: "knock-in" and "knock-out". "Knock-in" or "in" options are paid for up front, but you do not receive the option until the asset price crosses the barrier. "Knock-out" or "out" options come into existence on the issue date but becomes worthless if the asset price hits the barrier before the expiration date. If the option is a knock-in (knock-out), a predetermined cash rebate may be paid at expiration if the option has not been knocked in (knocked-out) during its lifetime. The barrier monitoring frequency specifies how often the price is checked for a breach of the barrier. All of the analytical models have a flag to change the monitoring frequency where the default frequency is continuous. The functions are: StandardBarrierOption Standard Barrier Option, DoubleBarrierOption Double Barrier Option, PTSingleAssetBarrierOption Partial Time Single Asset Barrier Option, TwoAssetBarrierOption Two Asset Barrier Option, PTTwoAssetBarrierOption Partial Time Two Asset Barrier Option, LookBarrierOption Lookback Barrier Option, DiscreteBarrierOption Discrete Barrier Option
Function CurrencyTranslatedOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Currency Translated Options
description
This is a collection of functions to valuate currency translated options. Currency translated options are options on foreign assets where the payoff is exchanged into domestic currency at expiration. For example, a US investor is interested in buying an option that is linked to the Nikkei index that is priced in yen. There are two types or risks, changing prices and exchange rates, to consider when valuing currency-translated options. The functions are: FEInDomesticFXOption Foreign Exchange In Domestic Currency Option, QuantoOption Quanto Option, EquityLinkedFXOption Equity Linked FX Option,
Function LookbackOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Lookback Options
description
A collection and description of functions to valuate lookback options. The payoff from a pathdependent lookback call (put) depends on the exercise price being set to the minimum (maximum) asset price achieved during the life of the option. Thus, a lookback call (put) allows the purchaser to buy (sell) the asset at its minimum (maximum) price. The functions are: FloatingStrikeLookbackOption Floating Strike Lookback Option, FixedStrikeLookbackOption Fixed Strike Lookback Option, PTFloatingStrikeLookbackOption PT Floating Strike Lookback Option, PTFixedStrikeLookbackOption PT Fixed Strike Lookback Option,
Function BinaryOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Binary Options
description
A collection and description of functions to valuate binary options. Binary options, also known as digital options, have discontinuous payoffs. They can be used as building blocks to develop options with more complicated payoffs. For example, a regular European call option is equivalent to a long position in an asset-or-nothing call and a short position in a cash-or-nothing call, where the both options have the same strike price and the cash payoff of the cash-or-nothing option equals the strike price. Unlike standard European style options, the payout for binary options does not depend on how much it is in-the-money but rather whether or not it is on the money. The option's payoff is fixed at the options inception and is based on the price of the underlying asset on the expiration date. Binary options may also incorporate barriers, as is the case with binary-barrier options. The functions are: GapOption Gap Option, CashOrNothingOption Cash Or Nothing Option, TwoAssetCashOrNothingOption Two Asset Cash Or Nothing Option, AssetOrNothingOption Asset Or Nothing Option, SuperShareOption Super Share Option,
Function MultipleAssetsOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Mutiple Assets Options
description
A collection and deswcription of functions to valuate multiple asset options. Multiple asset options, as the name implies, are options whose payoff is based on two (or more) assets. The two assets are associated with one another through their correlation coefficient. The functions are: TwoAssetCorrelationOption Two Asset Correlation Option, EuropeanExchangeOption Exchange-One-Asset-For-Another ..., AmericanExchangeOption ... European or American Option, ExchangeOnExchangeOption Exchange Option on an Exchange Option, TwoRiskyAssetsOption Option on the Min/Max of 2 Risky Assets,
Function MultipleExercisesOptions [fExoticOptions v3042.80]
keywords
math
title
Valuation of Mutiple Exercises Options
description
A collection and description of functions to valuate multiple exercise options. Multiple exercises options, as the name implies, are options whose payoff is based on multiple exercise dates. The functions are: ExecutiveStockOption Executive Stock Option, ForwardStartOption Forward Start Option, RatchetOption Ratchet Option, TimeSwitchOption Time Switch Option, SimpleChooserOption Simple Chooser Option, ComplexChooserOption Complex Chooser Option, OptionOnOption Option On Option, WriterExtendibleOption Writer Extendible Option,