The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are g...The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.展开更多
In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formu...In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formula,we aim to express the expected cash flow in terms of a building block.The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the count-ing process.For example,in the context of stop-loss contracts,the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure.展开更多
文摘The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.
基金The authors acknowledge Projet PEPS égalité(part of the European project INTEGER-WP4)"Approximation de Stein:approche par calcul de Malliavin et applications a la gestion des risques financiers"for financial support.
文摘In this paper,we provide a valuation formula for different classes of actuar-ial and financial contracts which depend on a general loss process by using Malliavin calculus.Similar to the celebrated Black-Scholes formula,we aim to express the expected cash flow in terms of a building block.The former is related to the loss process which is a cumulated sum indexed by a doubly stochastic Poisson process of claims allowed to be dependent on the intensity and the jump times of the count-ing process.For example,in the context of stop-loss contracts,the building block is given by the distribution function of the terminal cumulated loss taken at the Value at Risk when computing the expected shortfall risk measure.
