This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model estab...This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.展开更多
In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform f...In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.展开更多
提出一种在现货市场下对发电资产做实物期权估计和风险评估的改进模型。利用修正后的中值回复模型来描述电价随机过程,该模型考虑了波动性、不确定性和多重周期性等电价特性。在发电商有功优化输出模型中加入系统运行约束。基于上述电...提出一种在现货市场下对发电资产做实物期权估计和风险评估的改进模型。利用修正后的中值回复模型来描述电价随机过程,该模型考虑了波动性、不确定性和多重周期性等电价特性。在发电商有功优化输出模型中加入系统运行约束。基于上述电价过程和优化输出模型,可对发电资产做实物期权估计。为方便发电投资的风险管理,采用风险价值(value at risk,VaR)和条件风险价值(conditional value at risk,CVaR)等风险计量指标对发电投资作风险估计,帮助发电投资者做出正确的投资决策。基于IEEE30节点系统的数值仿真实验验证所提出方法的正确性和有效性。展开更多
基金Supported by the Fundamental Research Funds of Lanzhou University of Finance and Economics(Lzufe2017C-09)
文摘This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.
文摘In this paper, we present a new approach for solving boundary value problem in partial differential equation arising in financial market by means of the Laplace transform. The result shows that the Laplace transform for the price of the European call option which pays dividend yield reduces to the Black-Scholes-Merton model.
文摘提出一种在现货市场下对发电资产做实物期权估计和风险评估的改进模型。利用修正后的中值回复模型来描述电价随机过程,该模型考虑了波动性、不确定性和多重周期性等电价特性。在发电商有功优化输出模型中加入系统运行约束。基于上述电价过程和优化输出模型,可对发电资产做实物期权估计。为方便发电投资的风险管理,采用风险价值(value at risk,VaR)和条件风险价值(conditional value at risk,CVaR)等风险计量指标对发电投资作风险估计,帮助发电投资者做出正确的投资决策。基于IEEE30节点系统的数值仿真实验验证所提出方法的正确性和有效性。
