Option Pricing and ALM in Regime Switching Models
Grant Data
Project Title
Option Pricing and ALM in Regime Switching Models
Principal Investigator
Professor Yang, Hailiang
(Principal Investigator (PI))
Co-Investigator(s)
Professor Yin George Gang
(Co-Investigator)
Duration
36
Start Date
2010-01-01
Amount
520000
Conference Title
Option Pricing and ALM in Regime Switching Models
Presentation Title
Keywords
Asset liability management, Option pricing, Portfolio theory, Regime switching models, Trinomial tree
Discipline
Applied Mathematics,Others - Mathematics
Panel
Physical Sciences (P)
HKU Project Code
HKU 706209P
Grant Type
General Research Fund (GRF)
Funding Year
2009
Status
Completed
All Publications
| Title | Author(s) | Issue Date | |
|---|---|---|---|
Option pricing in a jump-diffusion model with regime switching Journal:ASTIN Bulletin | 2009 | ||
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs Journal:European Journal of Operational Research | 2011 | ||
Asymptotically optimal dividend policy for regime-switching compound Poisson models Journal:Acta Mathematicae Applicatae Sinica | 2010 |