We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean and variance, while assuming that the expected rate of returns is a fuzzy number. The model shows more clearly that, in the financial market affected by several...

This paper presents the total least squares quasi-Monte Carlo approach (TLSQM) for valuing American barrier options, which modifies the least-squares Monte Carlo method (LSM). The total least squares are applied to estimate the conditional expected payoff to the option holder from continuation,...

In this paper, we discuss the valuation of equity warrants in the geometric fractional Brownian environment based on the equilibrium condition. Using the conditional expectation we present a fractional pricing model for equity warrants and analyze the influence of the Hurst parameter. Then we...

Owing to fluctuations in the financial markets from time to time, the rate [lambda] of Poisson process and jump sequence {Vi} in the Merton's normal jump-diffusion model cannot be expected in a precise sense. Therefore, the fuzzy set theory proposed by Zadeh [Zadeh, L.A., 1965. Fuzzy sets....

This article follows the framework of Klein (1996) to present an improved method of pricing vulnerable options under jump diffusion assumptions about the underlying stock prices and firm values which are appropriate in many business situations. In contrast to Klein's (1996) model, jumps allow...

Guangdong's energy reduction requirements developed by the State Council of China under the 12th Five-year Plan reflect a reality: the restriction brought by energy consumption on economic development in Guangdong is tougher. To obtain a detailed understanding of the future amount of Guangdong's...

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

This paper investigates how to coordinate a one-manufacturer–two-retailers supply chain with demand disruptions by revenue-sharing contracts. Firstly, we study the coordination of the supply chain without demand disruptions and give the feasible revenue-sharing contracts, which assure the...

Following the framework of Klein [1996. Journal of Banking and Finance 20, 1211–1229], this paper presents an improved method of pricing vulnerable options under jump diffusion assumptions about the underlying stock prices and firm values which are appropriate in many business situations. In...

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...