• Communications of the Korean Mathematical Society
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• v.33 no.1
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• pp.345-360
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• 2018

In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

• Bulletin of the Korean Mathematical Society
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• v.53 no.5
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• pp.1497-1530
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• 2016

External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the chained option with an external single or double barrier by utilizing the probabilistic methods - the reflection principle and the change of measure. Before we do this, we examine the closed-form solution of the external barrier option with a single or double-curved barrier using the methods of image and double Mellin transforms. The exact solution of the external barrier option price enables us to obtain the pricing formula of the chained option with the external barrier more easily.

• Journal of Electrical Engineering and Technology
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• v.13 no.1
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• pp.393-399
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• 2018

An electrostatic boundary-value problem of a dielectric-wedge-backed, double-slotted conducting wedge is investigated to analyze an asymmetric coplanar waveguide with an infinite dielectric thickness using the Mellin transform and a mode-matching method. Our theoretical solution based on eigenfunction expansion and residue calculus is a rigorous and fast-convergent series form. Numerical computations are conducted to evaluate the potential field, capacitance, and characteristic impedance for various structures of the asymmetric coplanar waveguide. The computed results show good agreement with the simulated results.