An Actuarial Approach to Reload Option Valuation for a Non-tradable Risk Assets under Jump-diffusion Process and Stochastic Interest Rate  

作　　者：Cong-cong XU Zuo-liang XU 

机构地区：[1]School of Information, Renmin University of China, Beijing 100872, China [2]Department of Basic Course, Shijiazhuang Institute of Railway Technology, Shijiazhuang 050041, China

出　　处：《Acta Mathematicae Applicatae Sinica》2018年第3期451-468,共18页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.11571365,11171349)

摘　　要：We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.

关 键 词：Non-tradable assets reload option actuarial approach jump-diffusion processes stochastic inter-est rate 

分 类 号：O211[理学—概率论与数理统计]