This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one fol...This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.展开更多
In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained...In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained using other classical methods for the inverse Laplace transformation,like the Euler summation method or the Gaver-Stehfest method.展开更多
Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.Fo...Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.展开更多
Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occ...Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.展开更多
In this paper, we consider the problem to determine the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and th...In this paper, we consider the problem to determine the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and this probability distribution behavior changes chronologically. The result of finding the optimal strategy to sell the asset is the first time asset price falling into deterministic time-dependent boundary. Moreover, the boundary is represented by an increasing and continuous monotone function satisfying a nonlinear integral equation. We also conduct to find the empirical optimization boundary and simulate the asset price process.展开更多
基金supported by the National Natural Science Foundation of China(Grant No.12071373)by the Fundamental Research Funds for the Central Universities of China(Grant No.JBK1805001)+1 种基金The work of J.Xing was supported by the National Natural Science Foundation of China(Grant No.12101151)by the Guizhou Key Laboratory of Big Data Statistical Analysis(Grant No.[2019]5103).
文摘This paper studies a problem of optimal investment and consumption with early retirement option under constant elasticity variation(CEV)model with finite horizon.Two risky assets are involved in the model with one following geometric Brownian motion and the other a CEV model.This problem is a kind of two dimensional mixed control and optimal stopping problems with finite horizon.The existence and continuity of the optimal retirement threshold surfaces are proved and the working and retirement regions are characterized theoretically.Least-squares Monte-Carlo methods are developed to solve this mixed control and optimal stopping problem.The algorithms are well implemented and the optimal retirement threshold surfaces,optimal investment strategies and the optimal consumptions are drawn via examples.
文摘In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained using other classical methods for the inverse Laplace transformation,like the Euler summation method or the Gaver-Stehfest method.
文摘Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity.In this paper,we consider the problem of hedging Game Contingent Claims(GCC)in two cases.For the case that portfolio is unconstrained,we provide a single arbitrage-free price P_(0).Whereas for the constrained case,the price is replaced by an interval[h_(low),h_(up)]of arbitrage-free prices.And for the portfolio with some closed constraints,we give the expressions of the upper-hedging price and lower-hedging price.Finally,for a special type of game option,we provide explicit expressions of the price and optimal portfolio for the writer and holder.
基金Supported by the NNSF of China (10671144)NBRP of China (2007CB814903)
文摘Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.
文摘In this paper, we consider the problem to determine the optimal time to sell an asset that its price conforms to the Black-Schole model but its drift is a discrete random variable taking one of two given values and this probability distribution behavior changes chronologically. The result of finding the optimal strategy to sell the asset is the first time asset price falling into deterministic time-dependent boundary. Moreover, the boundary is represented by an increasing and continuous monotone function satisfying a nonlinear integral equation. We also conduct to find the empirical optimization boundary and simulate the asset price process.
