This work re-examined the simulation result of game analysis (Joshi et al., 2000) based on an agent-based model, Santa Fe Institute Artificial Stock Market. Allowing for recent research work on this artificial model, ...This work re-examined the simulation result of game analysis (Joshi et al., 2000) based on an agent-based model, Santa Fe Institute Artificial Stock Market. Allowing for recent research work on this artificial model, this paper’s modified game simulations found that the dividend amplitude parameter is a crucial factor and that the original conclusion still holds in a not long period, but only when the dividend amplitude is large enough. Our explanation of this result is that the dividend amplitude pa- rameter is a measurement of market uncertainty. The greater the uncertainty, the greater the price volatility, and so is the risk of investing in the stock market. The greater the risk, the greater the advantage of including technical rules.展开更多
This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payo...This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.展开更多
基金Project supported by the Talent Project Foundation of Zhejiang Province, China
文摘This work re-examined the simulation result of game analysis (Joshi et al., 2000) based on an agent-based model, Santa Fe Institute Artificial Stock Market. Allowing for recent research work on this artificial model, this paper’s modified game simulations found that the dividend amplitude parameter is a crucial factor and that the original conclusion still holds in a not long period, but only when the dividend amplitude is large enough. Our explanation of this result is that the dividend amplitude pa- rameter is a measurement of market uncertainty. The greater the uncertainty, the greater the price volatility, and so is the risk of investing in the stock market. The greater the risk, the greater the advantage of including technical rules.
文摘This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.
