VALUATION

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  • 期刊=Acta Mathematicae Applicatae Sinicax
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An Actuarial Approach to Reload Option Valuation for a Non-tradable Risk Assets under Jump-diffusion Process and Stochastic Interest Rate被引量：4
《Acta Mathematicae Applicatae Sinica》2018年第3期451-468,共18页Cong-cong XU Zuo-liang XU 
Supported by the National Natural Science Foundation of China(No.11571365,11171349)
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 approa...
关键词：Non-tradable assets reload option actuarial approach jump-diffusion processes stochastic inter-est rate 
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. 
The Valuation of Convertible Bonds with Numeraire Changes
《Acta Mathematicae Applicatae Sinica》2010年第2期321-332,共12页Hai-lin Zhou Shou-yang Wang 
Partially supported by the National Nature Science Foundation of China;The Research Grants Council of HongKong Grant (No. 70731160635)
The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantan...
关键词：Convertible bonds complete market numeraire changes closed-form solution 
Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation
《Acta Mathematicae Applicatae Sinica》2006年第1期127-136,共10页Qing-wei Liu Yi Li Shou-yang Wang 
Supported by the National Natural Science Foundation of China(No.70221001)
In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming ...
关键词：Cost of Carry static hedging hedge ratio hedging time 
Time-risk Discount Valuation of Life Contracts被引量：1
《Acta Mathematicae Applicatae Sinica》2003年第4期647-662,共16页Dian-faChen GeorgeXiang 
Supported by a CRCG Grant of the University of Hong Kong and a RGC Grant of Hong Kong, HKSAR, China;National Natural Science Foundation of China (No.10071009).
In this paper a new approach is developed to value life insurance contracts by means of the method of backward stochastic differential equation. Such a valuation may relax certain market limitations. Following this ap...
关键词：VALUATION POLICY MARTINGALE backward stochastic differential equation 
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