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In this paper, we apply Carr’s randomization approximation and the operator form of theWiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual… (More)

The <italic>Constrained Matrix</italic> problem is a core problem in numerous applications in the social and economic sciences, including: the estimation of input-output tables, trade tables, and social/national accounts, the projection of migration flows over space and time, the treatment of census data, the analysis of political voting patterns, and the… (More)

- Bruce Turkington, Alexander Eydeland, Alexander Lifschitz, Joel Spruck
- 1990

In this section we pose the variational problem whose solutions represent axisymmetric equilibrium configurations of a plasma confined in a tokomak or some other toroidal device. The geometry of the configurations we consider is depicted schematically in Figure 1. In the usual cylindrical coordinates the toroidal region D = {x = (r, φ, z) ∈ 3 : (r, z) ∈ Ω,… (More)

- Anna Nagurney, Alexander Eydeland
- Transportation Science
- 1992

DISCLOSURE The information herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy. Any such offer would be made only after a prospective participant had completed its own independent investigation of the… (More)

- VADIM LINETSKY, Jim Bodurtha, +10 authors Robert Jarrow
- 1998

Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock-out and knock-in provisions and introduce a family of path-dependent options: step options. They are parametrized by a finite knock-out (knock-in) rate, ρ. For a down-and-out step option, its payoff at expiration is defined as the payoff of… (More)

- Alexander Lifschitz, Bruce Turkington, Joel Spruck, Alexander Eydeland
- 1990

- A Eydeland, E Van Groesen
- 2001

Steady Euler flows in a periodic square that, for positive vorticity distributions, minimise the entrophy at given values of the energy and the circulations are non-confined vortices for optimal values of the circulation, and are confined vortices for certoin non-optimal values. An extension of the self-organisation principle for the ZD Navier-Stokes… (More)

In this paper we introduce a general parallelizable computational method for solving a wide spectrum of constrained matrix problems. The constrained matrix problem is a core problem in numerous applications in economics. These include the estimation of input/output tables, trade tables, and social/national accounts, and the projection of migration flows… (More)

- Wolfgang Pauli, Jose Penalva, Eduardo Schwartz, Alexander Eydeland, Morgan Stanley
- 2011

s for the conference on ”Energy and Commodity Risk Management and hedging of Commodity Derivatives” Wolfgang Pauli Institute, Vienna