Pricing of barrier options, valuation of related EIAs, and optimal strategies for insurance and financial portfolios

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Grant Data
Project Title
Pricing of barrier options, valuation of related EIAs, and optimal strategies for insurance and financial portfolios
Principal Investigator
Professor Yang, Hailiang   (Principal Investigator (PI))
Duration
36
Start Date
2012-01-01
Amount
650000
Conference Title
Pricing of barrier options, valuation of related EIAs, and optimal strategies for insurance and financial portfolios
Presentation Title
Keywords
American geometric step option, Delta hedging portfolio, Dividends & capital injection, Double barrier options, EIAs
Discipline
Probability & Statistics,Others - Mathematics
Panel
Physical Sciences (P)
HKU Project Code
HKU 706611P
Grant Type
General Research Fund (GRF)
Funding Year
2011
Status
Completed