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1. Valuation of correlation options under a stochastic interest rate model with regime switching | |||
WANG Rong-Ming,FAN Kun | |||
Economics 18 November 2014 | |||
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Abstract:In this paper, we consider the valuation of a correlation option, a two-factor analog of a European call option,under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model. | |||
TO cite this article:WANG Rong-Ming,FAN Kun. Valuation of correlation options under a stochastic interest rate model with regime switching[OL].[18 November 2014] http://en.paper.edu.cn/en_releasepaper/content/4616774 |
2. Agricultural Risks Management and Its Study Frame | |||
Wang Jian | |||
Economics 11 April 2008 | |||
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Abstract:This paper started from the understanding of the concept of the agricultural risk. It takes asymmetric information and existed uncertainties as the risk occurring mechanisms. Therefore, through out some related theoretical analysis to setup a frame on the agricultural risk management study. It gives a rational knowledge on agricultural risk management. | |||
TO cite this article:Wang Jian. Agricultural Risks Management and Its Study Frame[OL].[11 April 2008] http://en.paper.edu.cn/en_releasepaper/content/20353 |
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