Browsing 01 Mathematical Sciences by Author "Kang, Boda"

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Browsing 01 Mathematical Sciences by Author "Kang, Boda"

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  • Chiarella, Carl; Kang, Boda (Risk Waters Group, 2013)
    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 ...
  • Chiarella, Carl; Kang, Boda; Meyer, G (Elsevier, 2012)
    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 ...
  • Lin, Yuanlie; Wu, Congbin; Kang, Boda (Zhongguo Kexue Zazhishe, 2003)
    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 (Springer, 2006)
    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 ...
  • Filar, Jerzy; Kang, Boda (Springer, 2006)
    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. ...