Pricing Path-dependent Options with Regime Switching

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：aiyang1115

【摘要】

：

　　We propose a general approach to pricing path-dependent options such as barrier options and lookback options under regime-switching models,where different r

【作者】

：

Song Yingda Cai Ning

【机构】

：

Univ.of Sci.& Tech.of China

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　We propose a general approach to pricing path-dependent options such as barrier options and lookback options under regime-switching models,where different regimes may follow different processes.

其他文献

Moving Finite Element Methods for A System of Semi-linear Fractional Diffusion Equations

　　We will present moving mesh finite element methods for a system of semi-linear fractional diffusion equations.The system of fractional diffusion equations m

会议

A Spectral Finite Difference Method for Analysis of A Fluid-Lubricated Herringbone Grooves Journal B

　　A spectral difference method is applied to get numerical solutions for a fluid-lubricated herringbone grooved journal bearing,and an inexpedience which Four

会议

Modeling Sperm Motility Using A Kirchhoff Rod Model

　　Sperm flagella have been observed to propagate different waves of bending,depending on the fluid environment.In this talk,we will discuss modeling aspects o

会议

Non Homogeneous Boundary Value Problems for the Stationary Navier-Stokes Equations in 2-d Symmetric

　　We would like to present existence results for the stationary non homogeneous Navier-Stokes problem in symmetric domains having a semiinfinite outlet.

会议

Self-excited Oscillations of Flexible-channel Flow with Fixed Upstream Flux

　　To understand onset of self-excited oscillations in a collapsible-tube flow driven by fixed upstream flux,we consider flow in a finite-length planar channel

会议

Fluid-structure interaction problems in biological and physical systems

　　The interplay between fluid and elastic structures plays an important role in many biological and physical systems.This Mini-symposium will highlight recent

会议

Arbitrage Pricing of Multi-Person Game Contingent Claims

　　A novel class of multi-player competitive stochastic game in discrete-time with an affine specification of redistribution of payoffs at exercise is introduc

会议

Electro-hydrodynamic Effect on DNA Dynamics During Transport

　　We present computer simulations of DNA dynamics under electric field by using a stochastic version of the generalized immersed boundary method.Our simulatio

会议

Dynamic Conic Finance via Backward Stochastic Difference Equations

　　We present an arbitrage free framework for modeling bid and ask prices of dividend paying securities in discrete time using theory of dynamic acceptability

会议

American Contracts for Power System Balancing

　　We study utilisation of storage for balancing of power systems.This is formulated as repeated issuance of American-type real options on physical delivery/co

会议

Pricing Path-dependent Options with Regime Switching

与本文相关的学术论文