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A simple European option pricing formula with a skew Brownian motion – ERRATUM 一个具有倾斜布朗运动的简单欧式期权定价公式-勘误
3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-16 DOI: 10.1017/s0269964823000050
Puneet Pasricha, Xin-Jiang He
{"title":"A simple European option pricing formula with a skew Brownian motion – ERRATUM","authors":"Puneet Pasricha, Xin-Jiang He","doi":"10.1017/s0269964823000050","DOIUrl":"https://doi.org/10.1017/s0269964823000050","url":null,"abstract":"An abstract is not available for this content. As you have access to this content, full HTML content is provided on this page. A PDF of this content is also available in through the ‘Save PDF’ action button.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135534040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Method-of-moments estimators of a scale parameter based on samples from a coherent system 基于相干系统样本的尺度参数矩量估计方法
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-02-16 DOI: 10.1017/s0269964823000037
C. Macci, J. Navarro
{"title":"Method-of-moments estimators of a scale parameter based on samples from a coherent system","authors":"C. Macci, J. Navarro","doi":"10.1017/s0269964823000037","DOIUrl":"https://doi.org/10.1017/s0269964823000037","url":null,"abstract":"In this paper, we study the estimation of a scale parameter from a sample of lifetimes of coherent systems with a fixed structure. We assume that the components are independent and identically distributed having a common distribution which belongs to a scale parameter family. Some results are obtained as well for dependent (exchangeable) components. To this end, we will use the representations for the distribution function of a coherent system based on signatures. We prove that the efficiency of the estimators depends on the structure of the system and on the scale parameter family. In the dependence case, it also depends on the baseline copula function.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79708152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multiple-drawing dynamic Friedman urns with opposite-reinforcement 多牵引动态弗里德曼瓮与相反的加强
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-26 DOI: 10.1017/s0269964822000535
Shuyang Gao, Rafik Aguech
{"title":"Multiple-drawing dynamic Friedman urns with opposite-reinforcement","authors":"Shuyang Gao, Rafik Aguech","doi":"10.1017/s0269964822000535","DOIUrl":"https://doi.org/10.1017/s0269964822000535","url":null,"abstract":"\u0000 In this study, we consider a class of multiple-drawing opposite-reinforcing urns with time-dependent replacement rules. The class has the symmetric property of a Friedman-type urn. We divide the class into a small-increment regime and a large-increment regime. For small-increment schemes, we prove almost-sure convergence and a central limit theorem for the proportion of white balls by stochastic approximation. For large-increment schemes, by assuming the affinity condition, we show almost-sure convergence of the proportion of white balls by martingale theory and present a way to identify the limit distribution of the proportion of white balls.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83056402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal control of supervisors balancing individual and joint responsibilities 管理者平衡个人和共同责任的最优控制
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-20 DOI: 10.1017/s0269964823000013
Zhuoting Yu, S. Andradóttir, H. Ayhan
{"title":"Optimal control of supervisors balancing individual and joint responsibilities","authors":"Zhuoting Yu, S. Andradóttir, H. Ayhan","doi":"10.1017/s0269964823000013","DOIUrl":"https://doi.org/10.1017/s0269964823000013","url":null,"abstract":"\u0000 We consider a two-stage service system with two types of servers, namely subordinates who perform the first-stage service and supervisors who have their own responsibilities in addition to collaborating with the subordinates on the second-stage service. Rewards are earned when first- or second-stage service is completed and when supervisors finish one of their own responsibilities. Costs are incurred when impatient customers abandon without completing the second-stage service. Our problem is to determine how the supervisors should distribute their time between their joint work with the subordinates and their own responsibilities. Under the assumptions that service times at both stages are exponentially distributed and that the customers waiting for second-stage service abandon after an exponential amount of time, we prove that one of two policies will maximize the long-run average profit. Namely, it is optimal for supervisors to start collaborating with subordinates either when subordinates can no longer serve new customers or as soon as there is a customer ready for second-stage service. Furthermore, we show that the optimality condition is a simple threshold on the system parameters. We conclude by proving that pooling supervisors (and their associated subordinates) improves system performance, but with limited returns as more supervisors are pooled.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73992750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Option pricing under a double-exponential jump-diffusion model with varying severity of jumps 具有不同跳跃程度的双指数跳跃-扩散模型下期权定价
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-10 DOI: 10.1017/s0269964822000493
Xenos Chang-Shuo Lin, D. Miao, Ying-I Lee, Yu Zheng
{"title":"Option pricing under a double-exponential jump-diffusion model with varying severity of jumps","authors":"Xenos Chang-Shuo Lin, D. Miao, Ying-I Lee, Yu Zheng","doi":"10.1017/s0269964822000493","DOIUrl":"https://doi.org/10.1017/s0269964822000493","url":null,"abstract":"This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have the same parameters; instead, we assume that these parameters may take a series of different values to reflect growing or diminishing effects from these jumps. The mathematical analysis of the stock price requires an introduction of a number of distributions that are extended from the hypoexponential (HE) distribution. Under such a generalized setting, the European option price is derived in closed-form which ensures its computational convenience. Through our numerical examples, we examine the effects on the return distributions from the growing and diminishing severity of the upcoming jumps expected in the near future, and investigate how the option prices and the shapes of the implied volatility smiles are influenced by the varying severity of jumps. These results demonstrate the benefits of the modeling flexibility provided by our extension.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86860863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Rotation in age patterns of mortality decline: statistical evidence and modeling 死亡率下降的年龄模式轮换:统计证据和模型
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-09 DOI: 10.1017/S0269964822000468
J. S. Li, Joseph H. T. Kim
{"title":"Rotation in age patterns of mortality decline: statistical evidence and modeling","authors":"J. S. Li, Joseph H. T. Kim","doi":"10.1017/S0269964822000468","DOIUrl":"https://doi.org/10.1017/S0269964822000468","url":null,"abstract":"In the context of mortality forecasting, “rotation” refers to the phenomenon that mortality decline accelerates at older ages but decelerates at younger ages. Since rotation is typically subtle, it is difficult to be confirmed and modeled in a statistical, data-driven manner. In this paper, we attempt to overcome this challenge by proposing an alternative modeling approach. The approach encompasses a new model structure, which includes a component that is devoted to measuring rotation. It also features a modeling technique known as ANCOVA, which allows us to statistically detect rotation and extrapolate the phenomenon into the future. Our proposed approach yields plausible mortality forecasts that are similar to those produced by Li et al. [Extending the Lee-Carter method to model the rotation of age patterns of mortality decline for long-term projections. Demography 50 (6), 2037–205, and may be considered more advantageous than the approach of Li et al. in the sense that it is able to generate not only static but also stochastic forecasts.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79064332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the dual risk model with Parisian implementation delays under a mixed dividend strategy 混合股利策略下具有巴黎执行延迟的双重风险模型
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-09 DOI: 10.1017/S0269964822000481
K. Hu, Jingchao Li, Jieming Zhou
{"title":"On the dual risk model with Parisian implementation delays under a mixed dividend strategy","authors":"K. Hu, Jingchao Li, Jieming Zhou","doi":"10.1017/S0269964822000481","DOIUrl":"https://doi.org/10.1017/S0269964822000481","url":null,"abstract":"Abstract In this paper, we consider a mixed dividend strategy in a dual risk model. The mixed dividend strategy is the combination of a threshold dividend and a Parisian implementation delays dividend under periodic observation. Given a series of discrete observation points, when the surplus level is larger than the predetermined bonus barrier at observation point, the Parisian implementation delays dividend is immediately carried out, and the threshold dividend is performed continuously during the delayed period. We study the Gerber-Shiu expected discounted penalty function and the expected discounted dividend payments before ruin in such a dual risk model. Numerical illustrations are given to study the influence of relevant parameters on the ruin-related quantities and the selection of the optimal dividend barrier for a given initial surplus level.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88736604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Incorporating covariate into mean and covariance function estimation of functional data under a general weighing scheme 将协变量纳入一般加权方案下的函数数据均值和协方差函数估计
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-09 DOI: 10.1017/s0269964822000511
Xingyu Yan, Hao-Gang Wang, Hong Sun, Peng Zhao
{"title":"Incorporating covariate into mean and covariance function estimation of functional data under a general weighing scheme","authors":"Xingyu Yan, Hao-Gang Wang, Hong Sun, Peng Zhao","doi":"10.1017/s0269964822000511","DOIUrl":"https://doi.org/10.1017/s0269964822000511","url":null,"abstract":"This paper develops the estimation method of mean and covariance functions of functional data with additional covariate information. With the strength of both local linear smoothing modeling and general weighing scheme, we are able to explicitly characterize the mean and covariance functions with incorporating covariate for irregularly spaced and sparsely observed longitudinal data, as typically encountered in engineering technology or biomedical studies, as well as for functional data which are densely measured. Theoretically, we establish the uniform convergence rates of the estimators in the general weighing scheme. Monte Carlo simulation is conducted to investigate the finite-sample performance of the proposed approach. Two applications including the children growth data and white matter tract dataset obtained from Alzheimer's Disease Neuroimaging Initiative study are also provided.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75764405","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
PES volume 37 issue 1 Cover PES 37卷第1期封面
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2023-01-01 DOI: 10.1017/s0269964823000025
{"title":"PES volume 37 issue 1 Cover","authors":"","doi":"10.1017/s0269964823000025","DOIUrl":"https://doi.org/10.1017/s0269964823000025","url":null,"abstract":"","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88618726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Valuation of vulnerable European options with market liquidity risk 具有市场流动性风险的脆弱欧洲期权的估值
IF 1.1 3区 工程技术
Probability in the Engineering and Informational Sciences Pub Date : 2022-12-27 DOI: 10.1017/s026996482200050x
Yihao Pan, D. Tang, Xingchun Wang
{"title":"Valuation of vulnerable European options with market liquidity risk","authors":"Yihao Pan, D. Tang, Xingchun Wang","doi":"10.1017/s026996482200050x","DOIUrl":"https://doi.org/10.1017/s026996482200050x","url":null,"abstract":"\u0000 In this paper, we investigate the pricing of vulnerable European options in a market where the underlying stocks are not perfectly liquid. A liquidity discount factor is used to model the effect of liquidity risk in the market, and the default risk of the option issuer is incorporated into the model using a reduced-form model, where the default intensity process is correlated with the liquidity risk. We obtain a semiclosed-form pricing formula of vulnerable options through the inverse Fourier transform. Finally, we illustrate the effects of default risk and liquidity risk on option prices numerically.","PeriodicalId":54582,"journal":{"name":"Probability in the Engineering and Informational Sciences","volume":null,"pages":null},"PeriodicalIF":1.1,"publicationDate":"2022-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88919718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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