Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model

Chang, Chuang-Chang; Lian, Ya-Huei; Tsay, Min-Hung

doi:10.2139/ssrn.1461238

SSRN Journal

2009

DOI: 10.2139/ssrn.1461238

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Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model

Chuang-Chang Chang

Ya-Huei Lian

Min-Hung Tsay

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2020

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“…Due to the memoryless property of exponentially distributed random variables, some expressions depending on the first passage times can be analytically obtained. Chang et al (2012) [2] derive the Laplace transform of DFP when the fund price follows a double exponential jump-diffusion model.…”

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confidence: 99%

Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

Xu¹,

Dong²,

Tian³

et al. 2020

Journal of Industrial &Amp; Management Optimization

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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.

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mentioning

confidence: 99%

Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

Xu¹,

Dong²,

Tian³

et al. 2020

Journal of Industrial &Amp; Management Optimization

View full text Add to dashboard Cite

show abstract

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Pricing Dynamic Guaranteed Funds Under a Double Exponential Jump Diffusion Model

Cited by 1 publication

References 14 publications

Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

Pricing dynamic fund protection under a Regime-switching Jump-diffusion model with stochastic protection level

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