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...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.展开更多
In this paper, we study mixed elastico-plasticity problems in which part of the boundary is known, while the other part of the boundary is unknown and is a free boundary. Under certain conditions, this problem can be ...In this paper, we study mixed elastico-plasticity problems in which part of the boundary is known, while the other part of the boundary is unknown and is a free boundary. Under certain conditions, this problem can be transformed into a Riemann-Hilbert boundary value problem for analytic functions and a mixed boundary value problem for complex equations. Using the theory of generalized analytic functions, the solvability of the problem is discussed.展开更多
基金Supported by the National Natural Science Foundation of China(No.11571365,11171349)
文摘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.
基金the National Natural Science Foundation of China(No.10471149,10671207)the Postdoctoral Science Foundation of China(No.2005037447)
文摘In this paper, we study mixed elastico-plasticity problems in which part of the boundary is known, while the other part of the boundary is unknown and is a free boundary. Under certain conditions, this problem can be transformed into a Riemann-Hilbert boundary value problem for analytic functions and a mixed boundary value problem for complex equations. Using the theory of generalized analytic functions, the solvability of the problem is discussed.
