Pricing American drawdown options under Markov models
The drawdown in the price of an asset shows how much the price falls relative to its
historical maximum. This paper considers the pricing problem of perpetual American style …
historical maximum. This paper considers the pricing problem of perpetual American style …
Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach
Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using
quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects …
quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects …
[HTML][HTML] Randomization and the valuation of guaranteed minimum death benefits
G Deelstra, P Hieber - European Journal of Operational Research, 2023 - Elsevier
In this article, we focus on death-linked contingent claims (GMDBs) paying a random
financial return at a random time of death in the general case where financial returns follow …
financial return at a random time of death in the general case where financial returns follow …
A Markov regime switching model for asset pricing and ambiguity measurement of stock market
Based on the theoretical framework of expected utility with uncertain probabilities, this paper
uses actual prices of CSI300 and Hang Seng index to empirically measure ambiguity …
uses actual prices of CSI300 and Hang Seng index to empirically measure ambiguity …
Optimal harvesting under marine reserves and uncertain environment
M Gaïgi, VL Vath, S Scotti - European Journal of Operational Research, 2022 - Elsevier
Persistence in the literature is the perception of an inherent tradeoff between ecological
conservation and economic harvesting goals. Overexploitation may lead to resource …
conservation and economic harvesting goals. Overexploitation may lead to resource …
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
We study an optimisation problem of a household under a contagious financial market. The
market consists of a risk-free asset, multiple risky assets and a life insurance product. The …
market consists of a risk-free asset, multiple risky assets and a life insurance product. The …
[HTML][HTML] Investment–consumption optimization with transaction cost and learning about return predictability
N Wang, TK Siu - European Journal of Operational Research, 2024 - Elsevier
In this paper, we investigate an investment–consumption optimization problem in continuous-
time settings, where the expected rate of return from a risky asset is predictable with an …
time settings, where the expected rate of return from a risky asset is predictable with an …
Strategic trading with information acquisition and long-memory stochastic liquidity
This paper investigates the strategic interaction of information acquisition, information-based
dynamic trading, and noise trading patterns, as well as its significant implications on market …
dynamic trading, and noise trading patterns, as well as its significant implications on market …
Integration of Fractional Order Black-Scholes Merton with Neural Network
This study presents a novel approach to enhance option pricing accuracy by introducing the
Fractional Order Black-Scholes-Merton (FOBSM) model. FOBSM combines elements of the …
Fractional Order Black-Scholes-Merton (FOBSM) model. FOBSM combines elements of the …
Household lifetime strategies under a self-contagious market
In this paper, we consider the optimal strategies in asset allocation, consumption, and life
insurance for a household with an exogenous stochastic income under a self-contagious …
insurance for a household with an exogenous stochastic income under a self-contagious …