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371.
In the present paper we study a new exotic option offering participation in a dynamic asset allocation strategy, which is an extension of the well‐known Constant Proportion Portfolio Insurance (CPPI) strategy. Our novel approach consists in assuming that the percentage of wealth invested in stocks cannot go under a fixed level, called guaranteed minimum equity exposure (GMEE). In particular, our proposal ensures to overcome the so‐called cash‐in risk, typically related to a standard CPPI technique, simultaneously guaranteeing the equity market participation. We look deeper into the valuation of call and put options linked to this new CPPI‐GMEE strategy. A particular attention is devoted to the analysis of key parameters' value as to gain a better understanding of the sensitivities of the option prices, when changing, for example, the embedded guarantee level. To show the effectiveness of our proposal we provide a detailed computational analysis within the Heston‐Vasicek framework, numerically comparing the evaluation of the price of European plain vanilla options when the underlying is either a purely risky asset, a standard CPPI portfolio and a CPPI with GMEE. 相似文献
372.
目的是对基于随机波动率模型的期权定价问题应用模糊集理论.主要思想是把波动率的概率表示转换为可能性表示,从而把关于股票价格的带随机波动率的随机过程简化为带模糊参数的随机过程.然后建立非线性偏微分方程对欧式期权进行定价. 相似文献
373.
包立平 《应用数学与计算数学学报》2011,25(2):194-204
讨论了一类欧式期权定价问题的随机波动率模型,其随机波动率采用快速均值回归的随机波动率模型.通过采用奇摄动方法,得到了多风险资产欧式期权价格的形式渐近展开式,得到该合成展开式的一致有效误差估计. 相似文献
374.
375.
考虑了一类具有多个时间点重置执行价格的欧式熊市(或牛市)重置权证定价,应用鞅定价方法和多维正态分布函数,得到了该类权证价格的显示解和△对冲策略,推广了Gray和Whaley的单时点重置权证定价模型. 相似文献
376.
Konstantinos A. Chrysafis Basil K. Papadopoulos 《Journal of Computational and Applied Mathematics》2009
In this paper we present an application of a new method of constructing fuzzy estimators for the parameters of a given probability distribution function, using statistical data. This application belongs to the financial field and especially to the section of financial engineering. In financial markets there are great fluctuations, thus the element of vagueness and uncertainty is frequent. This application concerns Theoretical Pricing of Options and in particular the Black and Scholes Options Pricing formula. We make use of fuzzy estimators for the volatility of stock returns and we consider the stock price as a symmetric triangular fuzzy number. Furthermore we apply the Black and Scholes formula by using adaptive fuzzy numbers introduced by Thiagarajah et al. [K. Thiagarajah, S.S. Appadoo, A. Thavaneswaran, Option valuation model with adaptive fuzzy numbers, Computers and Mathematics with Applications 53 (2007) 831–841] for the stock price and the volatility and we replace the fuzzy volatility and the fuzzy stock price by possibilistic mean value. We refer to both cases of call and put option prices according to the Black & Scholes model and also analyze the results to Greek parameters. Finally, a numerical example is presented for both methods and a comparison is realized based on the results. 相似文献
377.
In this paper, we evaluate a multi-stage information technology investment project, by implementing and resolving Berk, Green and Naik’s (2004) model, which takes into account specific features of IT projects and considers the real option to suspend investment at each stage. We present a particular case of the model where the project value is the solution of an optimal control problem with a single state variable. In this case, the model is more intuitive and tractable. The case study confirms the practical potential of the model and highlights the importance of the real-option approach compared to classical discounted cash flow techniques in the valuation of IT projects. 相似文献
378.
379.
考虑美式回望看跌期权的有限元方法.在把原问题转化成等价的变分不等式的基础上,研究了半离散格式在L^2和L^∞范数意义下的最优误差估计.此外,为了进一步提高逼近解的精度,借助超收敛分析技术和插值后处理方法,研究了H^1范数意义下的整体超收敛以及后验误差估计。 相似文献
380.
基于CvaR的融入期权的投资组合模型 总被引:1,自引:0,他引:1
把期权作为一种投资对象融入到投资组合中,而不仅仅是作为风险对冲工具.用条件风险价值(CVaR)刻画组合风险,并求出最小化风险下的最优鲁棒投资组合策略.最后通过数值算例证明了模型的有效性,并得到融入期权后有效地提高了组合的收益,特别是当标的资产出现大的波动时,期权在组合中的表现更突出. 相似文献