Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Abstract

This paper investigates the valuation of discrete dynamic fund protection (DFP) under Levy processes. Specifically, the analytical solution of discrete DFP under Lévy processes is obtained in terms of Fourier transforms. The derivation uses Spitzer’s formula and leads to a recursion on computing the characteristic function of the maximum protection-to-fund ratio using the Fourier inversion. DFP can then be valued efficiently and accurately via the fast Fourier transform. The pricing behavior of the discrete DFP is numerically examined using several Levy processes, such as geometric Brownian motion, jump-diffusion models, and variance gamma process. Numerical experiments confirm that the proposed approach produces highly accurate discrete DFP values within 1 second.     

Path‐dependent currency options with mean reversion

This paper develops a path‐dependent currency option pricing framework in which the exchange rate follows a mean‐reverting lognormal process. Analytical solutions are derived for barrier options with a constant barrier, lookback options, and turbo warrants. As the analytical solutions are obtained using a Laplace transform, this study numerically shows that the solution implemented with a numerical Laplace inversion is efficient and accurate. The pricing behavior of path‐dependent options with mean reversion is contrasted with the Black‐Scholes model. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:275–293, 2008     

Why are postwar cycles smoother? Impulses or propagation?

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客户关系管理的网络经济学分析

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以对会展与旅行社现有的互动关系分析为铺垫,借用外包理论,尝试性构建会展与旅行社互动流程图,同时分别针对会展前、中、后3个阶段提出了会展与旅行社互动发展的建议,以期真正实现会展与旅行社的互动发展.     

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