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作者：Janson, S; Tysk, J
作者单位：Uppsala University
摘要：We use a notion of stochastic time, here called volatility time, to show convexity of option prices in the underlying asset if the contract function is convex as well as continuity and monotonicity of the option price in the volatility. The volatility time is obtained as the almost surely unique stopping time solution to a random ordinary differential equation related to volatility. This enables us to write price processes, or processes modeled by local martingales, as Brownian motions with re...
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作者：Pergamenshchikov, S
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Rouen Normandie
摘要：The Leland strategy for an approximate hedging of the call option under transactions costs is studied. The rate of convergence in the Kabanov-Safarian theorem for the Leland strategy is found. The limit theorem for the hedging portfolio is proved.
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作者：Gaier, J; Grandits, P; Schachermayer, W
作者单位：Technische Universitat Wien
摘要：We study the infinite time ruin probability for an insurance company in the classical Cramer-Lundberg model with finite exponential moments. The additional nonclassical feature is that the company is also allowed to invest in some stock market, modeled by geometric Brownian motion. We obtain an exact analogue of the classical estimate for the ruin probability without investment, that is, an exponential inequality. The exponent is larger than the one obtained without investment, the classical L...
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作者：Kyprianou, AE; Pistorius, MR
作者单位：Utrecht University; University of London; King's College London
摘要：In this article it is shown that one is able to evaluate the price of perpetual calls, puts, Russian and integral options directly as the Laplace transform of a stopping time of an appropriate diffusion using standard fluctuation theory. This approach is offered in contrast to the approach of optimal stopping through free boundary problems. Following ideas of Carr [Rev. Fin. Studies 11 (1998) 597-626], we discuss the Canadization of these options as a method of approximation to their finite ti...
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作者：Eibeck, A; Wagner, W
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：We present the stochastic approach to nonlinear kinetic equations (without gradient terms) in a unifying general framework, which covers many interactions important in applications, such as coagulation, fragmentation, inelastic collisions, as well as source and efflux terms. We provide conditions for the existence of corresponding stochastic particle systems in the sense of regularity (nonexplosion) of a jump process with unbounded intensity. Using an appropriate space of measure-valued functi...
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作者：Detemple, J; Feng, S; Tian, WD
作者单位：Boston University; University of Waterloo; McMaster University
摘要：This paper examines the valuation of call options on the minimum of two dividend-paying assets. We show that the optimal exercise boundary consists of three components, two continuous curves and one component along the diagonal with empty interior. The option price is shown to satisfy the early exercise premium representation in which the gains from exercise involve the local time of the minimum of the two underlying asset prices. A system of recursive integral equations for the exercise bound...
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作者：Duffie, D; Filipovic, D; Schachermayer, W
作者单位：Stanford University; Technische Universitat Wien; Princeton University
摘要：We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.
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作者：Kunitomo, N; Takahashi, A
作者单位：University of Tokyo; University of Tokyo
摘要：Kunitomo and Takahashi (1995, 2001) have proposed a new methodology, called small disturbance asymptotics, for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Ito processes. It can be applicable to a wide range of valuation problems, including complicated contingent claims associated with the Black-Scholes model and the term structure model of interest rates in the Heath-Jarrow-Morton framework. Our approach can be rigo...
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作者：Lachal, A
作者单位：Institut National des Sciences Appliquees de Lyon - INSA Lyon
摘要：By using some quasi-renewal-like equations and functional differential equations, we explicitly compute the Laplace transforms of some random variables introduced by Cowan and Chiu in modeling the mechanism of replication of a DNA molecule [J. Appl. Probab. (1994) 31 301-308]. These Laplace transforms are expressed by means of infinite products arising in the theory of partitions.
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作者：Stolyar, AL
作者单位：Alcatel-Lucent; Lucent Technologies; AT&T
摘要：We consider a multiclass queueing network with N customer classes, each having an arbitrary fixed route through the network. (Thus, the network is not necessarily feedforward.) We show that the largest weighted delay first (LWDF) discipline is an optimal scheduling discipline in the network in the following sense. Let w(i) be the (random) instantaneous largest end-to-end delay of a class i customer in the network in stationary regime. For any set of positive constants alpha(1), . . . , alpha(N...
