Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method

2014 ◽  
Author(s):  
Mitya Boyarchenko ◽  
Sergei Levendorskii
Keyword(s):  
Inversion Method ◽  
Barrier Options ◽  
Laplace Inversion

A Recent Laplace Inversion Technique Applied to a Transmission Line Problem

1978 ◽  
Vol 15 (3) ◽  
pp. 243-246 ◽  
Author(s):  
G. Ledda ◽  
N. Mullineux ◽  
J. R. Reed
Keyword(s):  
Transmission Line ◽  
Inversion Method ◽  
Numerical Inversion ◽  
Orthogonal Functions ◽  
Laplace Inversion ◽  
Inversion Technique

A numerical inversion method employing orthogonal functions is tested on an idealized transmission line problem. The reasons for its shortcomings are qualitatively discussed.

scholarly journals VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

2015 ◽  
Vol 45 (2) ◽  
pp. 355-395 ◽  
Author(s):  
Chi Chung Siu ◽  
Sheung Chi Phillip Yam ◽  
Hailiang Yang
Keyword(s):  
Regime Switching ◽  
Barrier Options ◽  
Inversion Algorithm ◽  
Expiry Date ◽  
Laplace Inversion ◽  
Put Options ◽  
Numerical Laplace Inversion ◽  
Lookback Options ◽  
Alternative Approach ◽  
The Laplace Transform

AbstractIn this article, we consider the problem of computing the expected discounted value of a death benefit, e.g. in Gerber et al. (2012, 2013), in a regime-switching economy. Contrary to their proposed discounted density approach, we adopt the Laplace transform to value the contingent options. By this alternative approach, closed-form expressions for the Laplace transforms of the values of various contingent options, such as call/put options, lookback options, barrier options, dynamic fund protection and the dynamic withdrawal benefits, have been obtained. The value of each contingent option can then be recovered by the numerical Laplace inversion algorithm, and this efficient approach is documented by several numerical illustrations. The strength of our methodology becomes apparent when we tackle the valuations of exotic contingent options in the cases when (1) the contracts have a finite expiry date; (2) when the time-until-death variable is uniformly distributed in accordance with De Moivre's law.

Continuous Lifetime Distribution Using Laplace Inversion Method

1992 ◽  
Vol 105-110 ◽  
pp. 1897-1900 ◽  
Author(s):  
Yan Ching Jean ◽  
F. Zandienadem ◽  
Qi Lin Deng
Keyword(s):  
Lifetime Distribution ◽  
Inversion Method ◽  
Laplace Inversion

Formulation, Design and Development of Niosome Based Topical Gel for Skin Cancer

2017 ◽  
Vol 2 (3) ◽  
Keyword(s):  
Skin Cancer ◽  
Drug Release ◽  
Hemorrhagic Cystitis ◽  
The Body ◽  
Cancer Drug ◽  
Inversion Method ◽  
Body Parts ◽  
Basal Cells ◽  
Formulation Design ◽  
Topical Gel

Melanoma is the most dangerous type of skin cancer in which mostly damaged unpaired DNA starts mutating abnormally and staged an unprecedented proliferation of epithelial skin to form a malignant tumor. In epidemics of skin, pigment-forming melanocytes of basal cells start depleting and form uneven black or brown moles. Melanoma can further spread all over the body parts and could become hard to detect. In USA Melanoma kills an estimated 10,130 people annually. This challenge can be succumbed by using the certain anti-cancer drug. In this study design, cyclophosphamide were used as a model drug. But it has own limitation like mild to moderate use may cause severe cytopenia, hemorrhagic cystitis, neutropenia, alopecia and GI disturbance. This is a promising challenge, which is caused due to the increasing in plasma drug concentration above therapeutic level and due to no rate limiting steps involved in formulation design. In this study, we tried to modify drug release up to threefold and extended the release of drug by preparing and designing niosome based topical gel. In the presence of Dichloromethane, Span60 and cholesterol, the initial niosomes were prepared using vacuum evaporator. The optimum percentage drug entrapment efficacy, zeta potential, particle size was found to be 72.16%, 6.19mV, 1.67µm.Prepared niosomes were further characterized using TEM analyzer. The optimum batch of niosomes was selected and incorporated into topical gel preparation. Cold inversion method and Poloxamer -188 and HPMC as core polymers, were used to prepare cyclophosphamide niosome based topical gel. The formula was designed using Design expert 7.0.0 software and Box-Behnken Design model was selected. Almost all the evaluation parameters were studied and reported. The MTT shows good % cell growth inhibition by prepared niosome based gel against of A375 cell line. The drug release was extended up to 20th hours. Further as per ICH Q1A (R2), guideline 6 month stability studies were performed. The results were satisfactory and indicating a good formulation approach design was achieved for Melanoma treatment.

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