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


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)
Duration
36
Start Date
2012-01-01
Completion Date
2014-12-31
Amount
650000
Conference Title
Presentation Title
Keywords
Double barrier options, American geometric step option, EIAs, Delta hedging portfolio, Dividends & capital injection
Discipline
Probability & Statistics,Others - Mathematics
Panel
Physical Sciences (P)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
HKU 706611P
Grant Type
General Research Fund (GRF)
Funding Year
2011/2012
Status
Completed