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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1248838
Description: In this article, we investigate the pricing of European-style options under a Markovian regime-switching Hull–White interest rate model. The parameters of this model, including the mean-reversion leve ... More
Reviewed: Reviewed
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1105318
Description: In this paper, we discuss a Markov chain approximation method to price European options, American options and barrier options in a Markovian regime-switching environment. The model parameters are modu ... More
Reviewed: Reviewed
Authors: Shen, Yang | Wei, Jiaqin
Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1193159
Description: This paper discusses an optimal investment, consumption, and life insurance purchase problem for a wage earner in a complete market with Brownian information. Specifically, we assume that the paramete ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045526
Description: This paper is concerned with the valuation of equity-linked annuities with mortality risk under a double regime-switching model, which provides a way to endogenously determine the regime-switching ris ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1045174
Description: A model for valuing a European-style commodity option and a futures option is discussed with a view to incorporating the impact of changing hidden economic conditions on commodity price dynamics. The ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302629
Description: In this paper, we revisit the consumption-investment problem with a general discount function and a logarithmic utility function in a non-Markovian framework. The coefficients in our model, including ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302558
Description: This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay different ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303287
Description: This paper discusses a mean-variance portfolio selection problem under a constant elasticity of variance model. A backward stochastic Riccati equation is first considered. Then we relate the solution ... More
Reviewed: Reviewed
Authors: Shen, Yang | Zeng, Yan
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302993
Description: This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the mean-variance criterion. A three-stage procedure is employed to solve the insurer's mean- ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286605
Description: This paper is concerned with option valuation under a double regime-switching model, where both the model parameters and the price level of the risky share depend on a continuous-time, finite-state, o ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272604
Description: In this paper, we investigate the valuation of two types of foreign equity options under a Markovian regime-switching mean-reversion lognormal model, where some key model parameters in the dynamics of ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/221257
Description: This paper establishes a necessary and sufficient stochastic maximum principle for backward systems, where the state processes are governed by jump-diffusion backward stochastic differential equations ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212533
Description: We develop a flexible model to value longevity bonds which incorporates several important sources of risk, namely, interest rate risk, mortality risk and the risk due to structural changes in economic ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212555
Description: In this paper, we investigate the valuation of bond options under a Markovian regime-switching Hull-White model, where both the mean-reverting level and the volatility of the interest rate are modulat ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212558
Description: In this paper, we investigate the pricing of variance swaps under a Markovian regime-switching extension of the Schöbel-Zhu-Hull-White hybrid model. The parameters of this model, including the mean-re ... More
Reviewed: Reviewed