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Utility indifference pricing of ESO with reload terms
上海师范大学学报. 自然科学版, 2018 “Nontradable” is one of the important characters of the Executive Stock Option(ESO).Therefore,the ESO cannot be priced by hedging the corresponding underlying asset.In this paper,we study ESO with reload terms by utility indifference method,based on ...
Fu Yi, Zhang Jizhou, Ji Sulei
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The Causal Effect of Parents' Education on Children's Earnings
International Economic Review, EarlyView.ABSTRACT We develop and estimate a model of endogenous schooling and earnings to isolate the causal effect of parents' education on children's outcomes. Identification uses earnings differences among children with equal schooling whose parents have different schooling.
Sang Yoon (Tim) Lee +2 more
wiley +1 more source
The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
Data Science Journal, 2007 Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function.
Jian-wei Gao +2 more
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Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators [PDF]
ESAIM: Proceedings and Surveys, 2019 We consider the optimal stopping and optimal control problems related to stochastic variational inequalities modeling elasto-plastic oscillators subject to random forcing.
Lauriere M. +4 more
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
On the Hamilton-Jacobi-Bellman Equation by the Homotopy Perturbation Method
Abstract and Applied Analysis, 2014 Our concern in this paper is to use the homotopy decomposition method to solve the Hamilton-Jacobi-Bellman equation (HJB). The approach is obviously extremely well organized and is an influential procedure in obtaining the solutions of the equations.
Abdon Atangana +2 more
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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
Complexity, 2021 Considering the mind of rivalry between families, each family focuses not only on its own wealth but also on other families, especially neighbors. In this paper, we investigate the non-zero-sum mean-variance game between two families with a random ...
Wenjin Guan, Wei Yuan, Sheng Li
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