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1.
分数布朗运动环境中标的资产有红利支付的欧式期权定价   总被引:15,自引:0,他引:15  
本文在标的资产或基础股票的价格服从几何分数布朗运动模型假设下 ,分别在无风险利率 r和股价波动率 σ为常数和为时间 t的非随机函数的情况下 ,求出了有红利支付的欧式期权的定价公式 .  相似文献
2.
分数布朗运动环境下欧式幂期权的定价   总被引:4,自引:0,他引:4  
赵佃立 《经济数学》2007,24(1):22-26
本文主要讨论了标的资产受多个分数布朗运动影响的欧式幂期权定价问题:基于风险中性概率测度,给出了在有红利支付且无风险利率及红利率为非随机函数的情况下的两类欧式幂期权定价公式,并分别求出了涨跌欧式幂期权的平价关系.  相似文献
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容许借贷的消费投资策略研究   总被引:2,自引:0,他引:2  
考虑了容许借贷的消费投资决策问题,投资者选择债券和带有红利回报的风险股票,在效用最大化的标准下,研究了最优消费投资策略。最后就HARA效用函数提供了最优策略。  相似文献
5.
复合Poisson模型中“双界限”分红问题   总被引:2,自引:0,他引:2  
引入了复合Poisson模型中的"双界限"分红模型,在这种模型中,当盈余超过上限时分红以不超过保费率的速率付出,低于下限后保费率增大.文中利用Gerber- Shiu函数来分析这种模型,先导出了Gerber-Shiu函数m_1,m_2,m_3满足的积分-微分方程,再给出m_1,m_2,m_3的解析表示,最后通过几步把Gerber-Shiu函数m(u;b_1,b)的解析式表示出来.  相似文献
6.
In this paper, we study a Markov regime-switching risk model where dividends are paid out according to a certain threshold strategy depending on the underlying Markovian environment process. We are interested in these quantities: ruin probabilities, deficit at ruin and expected ruin time. To study them, we introduce functions involving the deficit at ruin and the indicator of the event that ruin occurs. We show that the above functions and the expectations of the time to ruin as functions of the initial capital satisfy systems of integro-differential equations. Closed form solutions are derived when the underlying Markovian environment process has only two states and the claim size distributions are exponential.  相似文献
7.
In the absence of dividends, the surplus of an insurance company is modelled by a compound Poisson process perturbed by diffusion. Dividends are paid at a constant rate whenever the modified surplus is above the threshold, otherwise no dividends are paid. Two integro-differential equations for the expected discounted dividend payments prior to ruin are derived and closed-form solutions are given. Accordingly, the Gerber–Shiu expected discounted penalty function and some ruin related functionals, the probability of ultimate ruin, the time of ruin and the surplus before ruin and the deficit at ruin, are considered and their analytic expressions are given by general solution formulas. Finally the moment-generating function of the total discounted dividends until ruin is discussed.  相似文献
8.
Optimal dividends in the dual model   总被引:2,自引:0,他引:2  
The optimal dividend problem proposed by de Finetti [de Finetti, B., 1957. Su un’impostazione alternativa della teoria collettiva del rischio. In: Transactions of the XVth International Congress of Actuaries, vol. 2. pp. 433-443] is to find the dividend-payment strategy that maximizes the expected discounted value of dividends which are paid to the shareholders until the company is ruined or bankrupt. In this paper, it is assumed that the surplus or shareholders’ equity is a Lévy process which is skip-free downwards; such a model might be appropriate for a company that specializes in inventions and discoveries. In this model, the optimal strategy is a barrier strategy. Hence the problem is to determine b, the optimal level of the dividend barrier. A key tool is the method of Laplace transforms. A variety of numerical examples are provided. It is also shown that if the initial surplus is b, the expectation of the discounted dividends until ruin is the present value of a perpetuity with the payment rate being the drift of the surplus process.  相似文献
9.
本文在标的资产价格服从几何分数次布朗运动假设下,在无风险利率和红利率分别为常数和时间的非随机函数的条件下讨论了有交易成本的上限型买权的定价问题.  相似文献
10.
Some Results behind Dividend Problems   总被引:1,自引:0,他引:1  
We consider the basic dividend problem of the compound Poisson model with constant barrierstrategy.Some results concealed behind the dividend problem are made explicit in the present work.Differentmethods and some of which are firstly given in this paper.All these results presented certain direct relationshipbetween some important actuary variables in classical risk theory is also revealed.  相似文献
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