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American barrier option Pricing Formulas for Currency Model in Uncertain Environment

Journal of Systems Science & Complexity 2022年第1期35卷 283-312页

作者： GAO Rong LIU Kaixiang LI Zhiguo LANG Liying School of Economics and Management Hebei University of TechnologyTianjin 300401China School of Management Science and Engineering Chongqing Technology and Business UniversityChongqing 400067China Hebei University of Technology Tianjin 300401China

option pricing problem is one of the central issue in the theory of modern *** currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance *** paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange *** an American barrier option of currency model in uncertain environment is *** important of all,the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.

关键词： barrier option currency model option pricing uncertain process

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维普期刊数据库

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PRICING barrier optionS UNDER STOCHASTIC VOLATILITY FRAMEWORK

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Journal of Systems Science & Complexity 2013年第4期26卷 609-618页

作者： ZHAI Yunfei BI Xiuchun ZHANG Shuguang USTC-CityU Joint Advanced Research Centre Suzhou 215000China Department of Statistics and Finance University of Science and Technology of China

Abstract option pricing problem plays an extremely important role in quantitative finance. In com- plete market, Black-Scholes-Merton theory has been central to the development of financial engineering as both discipline and profession. However, in incomplete market, there are not any replicating port- folios for those options, and thus, the market traders cannot apply the law of one price for obtaining a unique solution. Fortunately, the authors can get a fair price via local-equilibrium principle. In this paper, the authors apply the stochastic control theory to price the exotic option-barrier options, and analyze the relationship between the price and the current positions. The authors get the explicit expression for the market price of the risk. The position effect plays a significant role in option pricing, because it can tell the trader how many and which direction to trade with the market in order to reach the local equilibrium with the market.

关键词： barrier option exotic option stochastic control.

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维普期刊数据库

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ON PRICING MODEL OF THE RESET option WITH N PREDETERMINED LEVELS

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Journal of Systems Science & Complexity 2004年第1期17卷 137-142页

作者： JIANGLishang YANGDesheng ZHANGShuguang InstituteofMathematics TongjiUniversityShanghai200092China SchoolofMathematicalSciencesandComputingTechnology CentralSouthUniversityChangsha410083China DepartmentofStatisticandFinance TheUniversityofScienceandTechnologyofChinaHefei230026China

Motivated by the reset option with n predetermined dates analyzed by ***, we consider a kind of reset option with uncertain dates by introducing N pie-specifiedbarrier levels. We claim this reset option consists of some standard knock-in and knock-out barrieroptions. The closed-form pricing formula is derived by means of a PDE's approach.

关键词： reset option path-dependent barrier option

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维普期刊数据库

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Design and Pricing of Chinese Contingent Convertible Bonds

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Journal of Systems Science and Information 2014年第5期2卷 428-436页

作者： Ping LI Jie LIU Department of Finance Beihang University

The financial crisis since 2007 has highlighted the fragility of the banking system. To address this deficiency, the Basel committee has agreed upon Basel III which consists of reinforcing banks' capital through new regulatory requirements. Raising additional funds by issuing common equity would lead to a significant cost for banks. Facing the problem, regulators came up with the concept of contingent capital. Contingent convertible(Coco) bonds have been the topic as both a solution to the “too big to fail” problem and a measure by which financial institutions can save themselves. In this paper we first give the introduction of Coco bonds, then present the design of Chinese Coco bonds and pricing Coco bonds through an equity derivative approach as well as sensitivity analysis based on B-S-M hypothesis. Considering that the stock return follows fat-tail distribution, this paper uses Heston stochastic volatility model to price Coco bonds. Finally we give some proposals for developing Coco bonds market in China.

关键词： contingent convertible (Coco) bonds barrier option stochastic volatility model

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