In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

In this article, we present two option pricing models of optimal security portfolio in real world measure. We use multi-Vasicek model to describe the change pattern of the return of security portfolio with time varying correlation. Explicit expressions of call and put option prices are obtained....

In this paper, the measurement of systemic risk of financial institutions and the determination of optimal capital level under consideration of systemic risk are discussed. The values of assets and liabilities of financial institutions are considered to be correlated with each other and they are...

In this paper, the measurement of systemic risk of financial institutions and the determination of optimal capital level under consideration of systemic risk are discussed. The values of assets and liabilities of financial institutions are considered to be correlated with each other and they are...