This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point...This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point to point and annual reset EIAs by Esscher transform method under Merton＇s assumption and obtain the closed form pricing formulas. Under two cases： with mortality risk and without mortality risk, the effects of the model parameters on the EIAs pricing are illustrated through numerical experiments.展开更多
In this paper,we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model.We establish strong consistency and ...In this paper,we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model.We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function.展开更多
In this study,we aim at developing a model for option pricing to reduce the risks associated with Ethiopian coffee price fluctuations.We used daily closed Washed Sidama class A Grade3(WSDA3)coffee price recorded in th...In this study,we aim at developing a model for option pricing to reduce the risks associated with Ethiopian coffee price fluctuations.We used daily closed Washed Sidama class A Grade3(WSDA3)coffee price recorded in the period 31 May 2011 to 30 March 2018 obtained from Ethiopia commodity exchange(ECX)market to analyse the price fluctuation.The nature of log-returns of the price is asymmetric(negatively skewed)and exhibits high kurtosis.We used jump diffusion models for modeling and option pricing the coffee price.The method of maximum likelihood is applied to estimate the parameters of the models.We used the root mean square error(RMSE)to test the validation of the models.The values of RMSE for Merton’s and double exponential jump diffusion models are 0.1093 and 0.0783,respectively.These results indicate that the models fit the data very well.We used analytical and Monte Carlo technique to find the call option pricing of WSDA3 price.Based on the empirical results,we concluded that double exponential jump diffusion model is more efficient than Merton’s model for modeling and option pricing of this coffee price.展开更多
基金supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005)Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300)+3 种基金Humanity and Social Science Youth Foundation of Ministry of Education of China (Grant No. 12YJC910006)Doctoral Program Foundation of the Ministry of Education of China (Grant No. 20110076110004)Program for New Century Excellent Talents in University (Grant No. NCET-09-0356)the Fundamental Research Funds for the Central Universities
文摘This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point to point and annual reset EIAs by Esscher transform method under Merton＇s assumption and obtain the closed form pricing formulas. Under two cases： with mortality risk and without mortality risk, the effects of the model parameters on the EIAs pricing are illustrated through numerical experiments.
基金supported by National Natural Science Foundation of China (Grant Nos.10871177,11071213)Research Fund for the Doctor Program of Higher Education of China (Grant No.20090101110020)
文摘In this paper,we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model.We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function.
文摘In this study,we aim at developing a model for option pricing to reduce the risks associated with Ethiopian coffee price fluctuations.We used daily closed Washed Sidama class A Grade3(WSDA3)coffee price recorded in the period 31 May 2011 to 30 March 2018 obtained from Ethiopia commodity exchange(ECX)market to analyse the price fluctuation.The nature of log-returns of the price is asymmetric(negatively skewed)and exhibits high kurtosis.We used jump diffusion models for modeling and option pricing the coffee price.The method of maximum likelihood is applied to estimate the parameters of the models.We used the root mean square error(RMSE)to test the validation of the models.The values of RMSE for Merton’s and double exponential jump diffusion models are 0.1093 and 0.0783,respectively.These results indicate that the models fit the data very well.We used analytical and Monte Carlo technique to find the call option pricing of WSDA3 price.Based on the empirical results,we concluded that double exponential jump diffusion model is more efficient than Merton’s model for modeling and option pricing of this coffee price.
