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501.
指数O-U过程下保证险的保险精算定价 总被引:3,自引:0,他引:3
引入期权定价理论,利用保险精算方法,得到了全额担保和部分担保两类保证险的保险精算定价公式,其中未偿付额为常数,房产价格服从指数O-U过程. 相似文献
502.
首先建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,利用测度变换的Girsanov定理,找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳扩散过程的欧式期权以及复合期权的定价公式. 相似文献
503.
This paper aims to develop a power penalty method for a linear parabolic variational inequality (Ⅵ) in two spatial dimensions governing the two-asset Ameri-can option valuation. This method yields a two-dimensional nonlinear parabolic PDE containing a power penalty term with penalty constant λ>1 and a power parameter k>0. We show that the nonlinear PDE is uniquely solvable and the solution of the PDE converges to that of the VI at the rate of order (λ<-k/2>). A fitted finite volume method is designed to solve the nonlinear PDE, and some numerical experiments are performed to illustrate the usefulness of this method. 相似文献
504.
博弈期权是由Kifer引进的,本质上是美式期权的一种,它使买卖双方都有权在到期日前的任何时刻中止合约来维护自己的权益。在股票波动率非常数时,对一类特殊类型的博弈期权进行了研究,通过解一个自由边界问题,得到了其价格的闭式解。 相似文献
505.
POUZO Demian 《中国科学A辑(英文版)》2009,52(6):1157-1168
This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert
spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the
problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact
penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results
to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds;
(2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical
error in the computation of the operator.
The first anther was supported by US National Science Foundation (Grant No. SES-0631613) and the Cowles Foundation for Research
in Economics 相似文献
506.
This paper aims to provide a practical example of assessment and propagation of input uncertainty for option pricing when using tree‐based methods. Input uncertainty is propagated into output uncertainty, reflecting that option prices are as unknown as the inputs they are based on. Option pricing formulas are tools whose validity is conditional not only on how close the model represents reality, but also on the quality of the inputs they use, and those inputs are usually not observable. We show three different approaches to integrating out the model nuisance parameters and show how this translates into model uncertainty in the tree model space for the theoretical option prices. We compare our method with classical calibration‐based results assuming that there is no options market established and no statistical model linking inputs and outputs. These methods can be applied to pricing of instruments for which there is no options market, as well as a methodological tool to account for parameter and model uncertainty in theoretical option pricing. Copyright © 2008 John Wiley & Sons, Ltd. 相似文献
507.
From an importance sampling viewpoint, Broadie and Glasserman [M. Broadie, P. Glasserman, A stochastic mesh method for pricing high-dimensional American options, Journal of Computational Finance 7 (4) (2004) 35–72] proposed a stochastic mesh method to price American options. In this paper, we revisit the method from a conditioning viewpoint, and derive some new weights. 相似文献
508.
Mohammad Shirzadi Mehdi Dehghan Ali Foroush Bastani 《Numerical Methods for Partial Differential Equations》2021,37(1):98-117
In this study, we derive optimal uniform error bounds for moving least‐squares (MLS) mesh‐free point collocation (also called finite point method) when applied to solve second‐order elliptic partial integro‐differential equations (PIDEs). In the special case of elliptic partial differential equations (PDEs), we show that our estimate improves the results of Cheng and Cheng (Appl. Numer. Math. 58 (2008), no. 6, 884–898) both in terms of the used error norm (here the uniform norm and there the discrete vector norm) and the obtained order of convergence. We then present optimal convergence rate estimates for second‐order elliptic PIDEs. We proceed by some numerical experiments dealing with elliptic PDEs that confirm the obtained theoretical results. The article concludes with numerical approximation of the linear parabolic PIDE arising from European option pricing problem under Merton's and Kou's jump‐diffusion models. The presented computational results (including the computation of option Greeks) and comparisons with other competing approaches suggest that the MLS collocation scheme is an efficient and reliable numerical method to solve elliptic and parabolic PIDEs arising from applied areas such as financial engineering. 相似文献
509.
510.
分析了带有复合泊松损失过程和随机利率的巨灾看跌期权的定价问题.资产价格通过跳扩散过程刻画,该过程与损失过程相关.当利率过程服从CIR模型时,获得了期权定价的显式解,并给出相关证明.通过一个实例,讨论了资产价格与期权价格的关系. 相似文献