scholarly journals VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

2015 ◽  
Vol 45 (2) ◽  
pp. 355-395 ◽  
Author(s):  
Chi Chung Siu ◽  
Sheung Chi Phillip Yam ◽  
Hailiang Yang
Keyword(s):  
Regime Switching ◽  
Barrier Options ◽  
Inversion Algorithm ◽  
Expiry Date ◽  
Laplace Inversion ◽  
Put Options ◽  
Numerical Laplace Inversion ◽  
Lookback Options ◽  
Alternative Approach ◽  
The Laplace Transform

AbstractIn this article, we consider the problem of computing the expected discounted value of a death benefit, e.g. in Gerber et al. (2012, 2013), in a regime-switching economy. Contrary to their proposed discounted density approach, we adopt the Laplace transform to value the contingent options. By this alternative approach, closed-form expressions for the Laplace transforms of the values of various contingent options, such as call/put options, lookback options, barrier options, dynamic fund protection and the dynamic withdrawal benefits, have been obtained. The value of each contingent option can then be recovered by the numerical Laplace inversion algorithm, and this efficient approach is documented by several numerical illustrations. The strength of our methodology becomes apparent when we tackle the valuations of exotic contingent options in the cases when (1) the contracts have a finite expiry date; (2) when the time-until-death variable is uniformly distributed in accordance with De Moivre's law.

GENERALIZED THEORY OF MAGNETO-THERMO-VISCOELASTIC SPHERICAL CAVITY PROBLEM UNDER FRACTIONAL ORDER DERIVATIVE: STATE SPACE APPROACH

2020 ◽  
Vol 9 (11) ◽  
pp. 9769-9780
Author(s):  
S.G. Khavale ◽  
K.R. Gaikwad
Keyword(s):  
State Space ◽  
Fractional Order ◽  
Order Derivative ◽  
Laplace Inversion ◽  
State Space Approach ◽  
Spherical Region ◽  
Fractional Order Derivative ◽  
Numerical Laplace Inversion ◽  
Mathcad Software ◽  
Space Approach

This paper is dealing the modified Ohm's law with the temperature gradient of generalized theory of magneto-thermo-viscoelastic for a thermally, isotropic and electrically infinite material with a spherical region using fractional order derivative. The general solution obtained from Laplace transform, numerical Laplace inversion and state space approach. The temperature, displacement and stresses are obtained and represented graphically with the help of Mathcad software.

Generalized Thermoelastic Responses of a Piezoelectric Rod Subjected to a Moving Heat Source

2007 ◽  
Vol 353-358 ◽  
pp. 1149-1152
Author(s):  
Tian Hu He ◽  
Li Cao
Keyword(s):  
Numerical Calculation ◽  
Heat Source ◽  
Laplace Transformation ◽  
Moving Heat Source ◽  
Governing Equations ◽  
Laplace Inversion ◽  
Thermally Induced ◽  
Numerical Laplace Inversion ◽  
Generalized Thermoelastic ◽  
Elastic Responses

Based on the Lord and Shulman generalized thermo-elastic theory, the dynamic thermal and elastic responses of a piezoelectric rod fixed at both ends and subjected to a moving heat source are investigated. The generalized piezoelectric-thermoelastic coupled governing equations are formulated. By means of Laplace transformation and numerical Laplace inversion the governing equations are solved. Numerical calculation for stress, displacement and temperature within the rod is carried out and displayed graphically. The effect of moving heat source speed on temperature, stress and temperature is studied. It is found from the distributions that the temperature, thermally induced displacement and stress of the rod are found to decrease at large source speed.

Impact Response of a Cracked Orthotropic Medium

1983 ◽  
Vol 50 (3) ◽  
pp. 630-636 ◽  
Author(s):  
M. K. Kassir ◽  
K. K. Bandyopadhyay
Keyword(s):  
Stress Intensity ◽  
Dynamic Stress ◽  
Fourier Transforms ◽  
Dynamic Stress Intensity Factor ◽  
Orthotropic Materials ◽  
Dynamic Stress Intensity Factors ◽  
Transient Problem ◽  
Numerical Laplace Inversion ◽  
The Laplace Transform ◽  
Applied Stresses

A solution is given for the problem of an infinite orthotropic solid containing a central crack deformed by the action of suddenly applied stresses to its surfaces. Laplace and Fourier transforms are employed to reduce the transient problem to the solution of standard integral equations in the Laplace transform plane. A numerical Laplace inversion technique is used to compute the values of the dynamic stress-intensity factors, k1 (t) and k2 (t), for several orthotropic materials, and the results are compared to the corresponding elastostatic values to reveal the influence of material orthotropy on the magnitude and duration of the overshoot in the dynamic stress-intensity factor.

scholarly journals Pricing Exotic Options under a High-Order Markovian Regime Switching Model

2007 ◽  
Vol 2007 ◽  
pp. 1-15 ◽  
Author(s):  
Wai-Ki Ching ◽  
Tak-Kuen Siu ◽  
Li-Min Li
Keyword(s):  
Regime Switching ◽  
Order Effect ◽  
High Order ◽  
Martingale Measure ◽  
Exotic Options ◽  
Lookback Options ◽  
Path Dependent ◽  
Markovian Regime Switching ◽  
The Impact ◽  
Markovian Regime

We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM). We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.

scholarly journals The noise handling properties of the Talbot algorithm for numerically inverting the Laplace transform

2018 ◽  
Vol 13 ◽  
pp. 174830181879706 ◽  
Author(s):  
Colin L Defreitas ◽  
Steve J Kane
Keyword(s):  
Fourier Series ◽  
Laplace Transform ◽  
Noisy Data ◽  
Standard Test ◽  
Numerical Inversion ◽  
Test Functions ◽  
Inversion Algorithm ◽  
Inverse Transform ◽  
Exact Data ◽  
The Laplace Transform

This paper examines the noise handling properties of three of the most widely used algorithms for numerically inverting the Laplace transform. After examining the genesis of the algorithms, their error handling properties are evaluated through a series of standard test functions in which noise is added to the inverse transform. Comparisons are then made with the exact data. Our main finding is that the for “noisy data”, the Talbot inversion algorithm performs with greater accuracy when compared to the Fourier series and Stehfest numerical inversion schemes as they are outlined in this paper.

A Revised Approach for One-Dimensional Time-Dependent Heat Conduction in a Slab

2013 ◽  
Vol 135 (3) ◽  
Author(s):  
A. Caffagni ◽  
D. Angeli ◽  
G. S. Barozzi ◽  
S. Polidoro
Keyword(s):  
Heat Conduction ◽  
Convergence Rate ◽  
Boundary Conditions ◽  
One Dimensional ◽  
Integral Formulas ◽  
Alternative Approach ◽  
The Laplace Transform ◽  
Piecewise Continuous ◽  
Continuous Boundary ◽  
Duhamel’S Integral

Classical Green’s and Duhamel’s integral formulas are enforced for the solution of one dimensional heat conduction in a slab, under general boundary conditions of the first kind. Two alternative numerical approximations are proposed, both characterized by fast convergent behavior. We first consider caloric functions with arbitrary piecewise continuous boundary conditions, and show that standard solutions based on Fourier series do not converge uniformly on the domain. Here, uniform convergence is achieved by integrations by parts. An alternative approach based on the Laplace transform is also presented, and this is shown to have an excellent convergence rate also when discontinuities are present at the boundaries. In both cases, numerical experiments illustrate the improvement of the convergence rate with respect to standard methods.

scholarly journals Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model

2016 ◽  
Vol 2016 ◽  
pp. 1-14 ◽  
Author(s):  
Youngchul Han ◽  
Geonwoo Kim
Keyword(s):  
Regime Switching ◽  
The Other ◽  
Barrier Options ◽  
Computational Results ◽  
Lattice Method ◽  
Regime Switching Model ◽  
Switching Model ◽  
Tree Methods ◽  
Local Average ◽  
Tree Method

We propose an efficient lattice method for valuation of options with barrier in a regime switching model. Specifically, we extend the trinomial tree method of Yuen and Yang (2010) by calculating the local average of prices near a node of the lattice. The proposed method reduces oscillations of the lattice method for pricing barrier options and improves the convergence speed. Finally, computational results for the valuation of options with barrier show that the proposed method with interpolation is more efficient than the other tree methods.

scholarly journals New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences

2002 ◽  
Vol 15 (4) ◽  
pp. 309-325 ◽  
Author(s):  
M. L. Kleptsyna ◽  
A. Le Breton ◽  
M. Viot
Keyword(s):  
Quadratic Forms ◽  
General Setting ◽  
Laplace Transforms ◽  
Recursive Equation ◽  
Explicit Formulas ◽  
Volterra Type ◽  
Alternative Approach ◽  
The Laplace Transform ◽  
Recursive Equations ◽  
Filtering Problem

Various methods to derive new formulas for the Laplace transforms of some quadratic forms of Gaussian sequences are discussed. In the general setting, an approach based on the resolution of an appropriate auxiliary filtering problem is developed; it leads to a formula in terms of the solutions of Volterra-type recursions describing characteristics of the corresponding optimal filter. In the case of Gauss-Markov sequences, where the previous equations reduce to ordinary forward recursive equations, an alternative approach prices another formula; it involves the solution of a backward recursive equation. Comparing the different formulas for the Laplace transforms, various relationships between the corresponding entries are identified. In particular, relationships between the solutions of matched forward and backward Riccati equations are thus proved probabilistically; they are proved again directly. In various specific cases, a further analysis of the concerned equations lead to completely explicit formulas for the Laplace transform.

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