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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Social Learning and Strategic Pricing with Rating Systems
评级系统 社交学习 战略定价
2023/5/15
Despite widespread use in online transactions, rating systems only provide summary statistics of buyers' diverse opinions at best. To investigate the consequences of this coarse form of information ag...
A Kind of Accelerated AOS Difference Schemes For Dual Currency Option Pricing Model
Dual currency option pricing model accelerated AOS algorithm 'explicit-implicit' scheme 'implicit-explicit' scheme second order accuracy
2011/10/15
Black-Scholes equation of Dual currency option pricing is a typical multi-asset option pricing model, and it is important to research it's numerical value. This paper uses the accelerated additive ope...
On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Option Linear Complementarity Problem
2011/3/4
Finite di erence or nite element approximations of the value function of an American option usually result in discrete linear complementarity problems (LCP).
Pricing of barrier options by marginal functional quantization
barrier options marginal functional quantization
2011/3/2
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization
method. From a known useful representation of the premium of barrier options one deduces an
algorithm simila...
Retailer's pricing and ordering strategy for Weibull distribution deterioration under trade credit in declining market
Finance Weibull deterioration trade credit
2010/9/21
In this research article, an ordering and pricing policy is formulated for a retailer when the supplier offers a delay in payments to settle the accounts against the retailer’s due. The problem is to ...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
The Hartman-Watson Pricing Asian Options
2010/11/24
Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the de...
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/4/27
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strik...
Information Asymmetry in Pricing of Credit Derivatives
asymmetric information enlargement of filtrations default threshold risk neutral probability measures pricing of credit derivatives
2010/4/27
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the...
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
partial integro-differential equation jump diffusion models
2010/4/27
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a part...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
illiquid market nonlinearity explicit solutions Liegroup analysis
2010/4/27
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study t...
The impact of uncertainties on the pricing of contingent claims
Uncertainty Stochastic Differential Equations Dynamic Hedging Er-ror Theoryusing Dirichlet Forms Bias Bid-AskSpread
2010/4/27
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techni...
Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
Extra-Dimensional Option Pricing Stochastic Volatility
2010/4/27
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space o...
Securities Pricing with Information-Sensitive Discounting
Asset pricing incomplete information stochastic interest rates credi trisk recovery models credit-ination hybrid securities information-sensitive pricing kernels
2010/4/27
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random rec...