REGIME-SWITCHING

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  • 期刊=Acta Mathematicae Applicatae Sinicax
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Valuation and Hedging Strategy of Currency Options under Regime-Switching Jump-Diffusion Model
《Acta Mathematicae Applicatae Sinica》2017年第4期871-892,共22页Shou-ting CHEN Xun-di DIAO Ai-lin ZHU 
Supported by the National Natural Science Foundation of China(No.11301454,No.71771147 and No.71201100);the Jiangsu Qing Lan Project for Excellent Young Teachers in University(2014);Six Talent Peaks Project in Jiangsu Province(2016-JY-081);the Natural Science Foundation for Colleges and Universities in Jiangsu Province(17KJB110020)
The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modu...
关键词：spot foreign exchange rate regime switching jump0diffusion processes minimal martingale mea-sure European currency options pricing and hedging strategy. 
Asymptotically Optimal Dividend Policy for Regime-Switching Compound Poisson Models
《Acta Mathematicae Applicatae Sinica》2010年第4期529-542,共14页G.Yin Zhuo Jin Hailiang Yang 
supported in part by the National Science Foundation under DMS-0907753;supported in part by the National Natural Science Foundation of China (No.70871055);supported in part by the National Science Foundation under DMS-0603287;supported in part by Research Grants Council of HKSAR (Project No:HKU706209P)
This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin.Compound Poisson processes with regime switching are used to model the surplus and the switch...
关键词：Asymptotic optimality compound Poisson model dividend policy regime switching 
Option Pricing when the Regime-Switching Risk is Priced被引量：2
《Acta Mathematicae Applicatae Sinica》2009年第3期369-388,共20页Tak Kuen Siu Hailiang Yang 
the Research Grants Councilof the Hong Kong Special Administrative Region,China(Project No.HKU 754008H)
We study the pricing of an option when the price dynamic of the underlying risky asset is governed by a Markov-modulated geometric Brownian motion. We suppose that the drift and volatility of the underlying risky asse...
关键词：Option valuation regime-switching risk two-stage pricing procedure Esscher transform martingale restriction min-max entropy problem 
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