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Multi-step double barrier options

Abstract

In this article, we study double barrier options where the upper and lower boundaries are piecewise constant functions with arbitrary number of steps. We provide explicit formulas to price such types of options. On top of its applicability via generalized formulas, it is also shown that multi-step double barrier options can be applied to approximate the prices of options with arbitrary shapes of double barriers. Finally, numerical studies are provided to show validity and applicability of our theoretical findings in practice as well.

article Article

date_range 2022

language English

link Link of the paper

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Lee Hangsuck

Jeong Himchan

Lee Minha

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Brownian motion

Esscher transform

Multi-step double barrier options

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Experimental study to predict bond-slip behavior of corroded reinforced concrete columns

Abstract

To perform accurate seismic analyses of corroded reinforced concrete (RC) buildings, it is necessary to predict the bond-slip relationships to modify the moment-curvature relationships. In this study, empirical models were developed to predict the bond strength of corroded RC columns. Twenty-five RC columns were tested under combined cyclic lateral displacement excursions for three concrete strength levels—specifically, 9, 27, and 37 MPa (1305, 3915, and 5365 psi, respectively)—at two axial load ratios of 0.20 and 0.40 and at four corrosion levels. An accelerated corrosion method was applied to corrode the reinforcing bars embedded in the RC columns. The actual corrosion levels were determined by breaking the concrete and extracting all the longitudinal and transverse reinforcing bars from the RC columns. Three empirical models were developed. The first model was used to predict the development length of the corroded reinforcing bars. The second and third models were used to predict the bond strength and slip in the reinforcing bars as a function of the corrosion levels. The results indicated that previous models that predict the bond strength of corroded RC members were limited because of the theoretically considered development length of the noncorroded reinforcing bars.

article Article

date_range 2022

language English

link Link of the paper

Bond-slip relatio...

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