In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space...In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.展开更多
Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR p...Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.展开更多
From the point of view of the basic option model, enterprise investment decision making under uncertainty is studied based on the martingale method. The study shows that investment options and yields are increasing fu...From the point of view of the basic option model, enterprise investment decision making under uncertainty is studied based on the martingale method. The study shows that investment options and yields are increasing functions of time, and when the option equals the yield, the investment opportunity cost is the least, which is the appropriate time for the enterprise investment. Under the condition that the investment yield is an increasing function of time, the investment opportunity cost is also an increasing function of time after the time when the investment option equals the investment yield. So the investors should invest as soon as possible, otherwise they should stop investment forever in this project. It is impossible to acquire more investment yields by indefinitely delaying the investment. Meanwhile, the study also shows that the martingale method, used widely in financial investment theory, is a powerful tool for enterprise investment decision making.展开更多
The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the s...The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.展开更多
基金supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).
文摘In this paper,we consider the price of catastrophe options with credit risk in a regime-switching model.We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space.By using the measure change technique,we derive the price expressions of catastrophe put options.Moreover,we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.
基金The National Natural Science Foundation of China (No.70671025)
文摘Using support vector regression （SVR）, a novel non-parametric method for recovering implied risk-neutral probability density function （IRNPDF） is investigated by solving linear operator equations. First, the SVR principle for function approximation is introduced, and an SVR method for solving linear operator equations with knowing some values of the right-hand function and without knowing its form is depicted. Then, the principle for solving the IRNPDF based on SVR and the method for constructing cross-kernel functions are proposed. Finally, an empirical example is given to verify the validity of the method. The results show that the proposed method can overcome the shortcomings of the traditional parametric methods, which have strict restrictions on the option exercise price; meanwhile, it requires less data than other non-parametric methods, and it is a promising method for the recover of IRNPDF.
文摘From the point of view of the basic option model, enterprise investment decision making under uncertainty is studied based on the martingale method. The study shows that investment options and yields are increasing functions of time, and when the option equals the yield, the investment opportunity cost is the least, which is the appropriate time for the enterprise investment. Under the condition that the investment yield is an increasing function of time, the investment opportunity cost is also an increasing function of time after the time when the investment option equals the investment yield. So the investors should invest as soon as possible, otherwise they should stop investment forever in this project. It is impossible to acquire more investment yields by indefinitely delaying the investment. Meanwhile, the study also shows that the martingale method, used widely in financial investment theory, is a powerful tool for enterprise investment decision making.
基金The Achievements of Young Fund Project of Humanitiesand Social Science of Ministry of Education(No.07JC790028)the NationalNatural Science Foundation of China (No.70671025).
文摘The polynomial spline model, which belongs to the static term structure model of interest rates, is studied. Every cash flow of the project is discounted relatively accurately by obtaining the discount rate from the static term structure model of interest rates. A simple basic model, which belongs to the dynamic term structure model, is studied, and the option pricing formula under changing risk-free rates is obtained by bringing it into the option pricing formula. Both dynamic and static term structure models are estimated by the use of the data of buy-back rates and the Shanghai Stock Exchange, and an example is given to compare the differences between the traditional method and the method under the changes in the interest rates and the discount rates.
