A compound option (the mother option) gives the holder the right, but not the obligation, to buy (long) or sell (short) the underlying option (the daughter option). In this paper, we consider the problem of pricing ...
This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a ...
This paper considers the problem of numerically evaluating barrier option prices when the dynamics of the underlying are driven by stochastic volatility following the square root process of Heston (1993)[7]. We develop a ...
Chiarella, Carl; Kang, Boda; Nikitopoulos Sklibosios, Christina; To, Thuy(Elsevier, 2013)
This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump-shaped, unspanned stochastic volatility, which entails a finite-dimensional affine model for the commodity futures ...
Decision makers often face the need of performance guarantee with some sufficiently high probability. Such problems can be modelled using a discrete time Markov decision process (MDP) with a probability criterion for the ...
Kang, Boda; Filar, Jerzy; Lin, Yuanlie; Spanjers, Lieneke(IEEE Control Systems Society, 2004)
We consider a problem of optimal control of a ?retirement investment fund? over a finite time horizon with a target hitting time criteria. That is, we wish to decide, at each stage, what percentage of the current retirement ...
We introduce the time-consistency concept that is inspired by the so-called ?principle of optimality? of dynamic programming and demonstrate ? via an example ? that the conditional value-at-risk (CVaR) need not be ...
The risk encountered in many environmental problems appears to exhibit special ?two-sided? characteristics. For instance, in a given area and in a given period, farmers do not want to see too much or too little rainfall. ...