PRICING DYNAMIC FUND PROTECTION UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL WITH STOCHASTIC PROTECTION LEVEL

被引：1

作者：

Xu, Chao ^{[1
]}

Dong, Yinghui ^{[1
]}

Tian, Zhaolu ^{[2
,3
,4
]}

Wang, Guojing ^{[2
,3
,4
]}

机构：

[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215009, Peoples R China

[2] Shanxi Univ Finance & Econ, Coll Appl Math, Taiyuan 030006, Peoples R China

[3] Soochow Univ, Dept Math, Suzhou 215006, Peoples R China

[4] Soochow Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2020年 / 16卷 / 06期

关键词：

Dynamic fund protection; regime-switching; hyper-exponential jump-diffusion process; Laplace transform; OPTION; VALUATION; RUIN;

D O I：

10.3934/jimo.2019072

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, we investigate the valuation of dynamic fund protections under the assumption that the market value of the basic fund and the protection level follow regime-switching processes with jumps. The price of the dynamic fund protection (DFP) is associated with the Laplace transform of the first passage time. We derive the explicit formula for the Laplace transform of the DFP under the regime-switching, hyper-exponential jump-diffusion process. By using the Gaver-Stehfest algorithm, we present some numerical results for the price of the DFP.

引用

页码：2603 / 2623

页数：21

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