Displaying similar documents to “Stochastic dominance theory for location-scale family.”

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Łukasz Delong (2012)

Applicationes Mathematicae

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We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which...

Extension of stochastic dominance theory to random variables

Chi-Kwong Li, Wing-Keung Wong (2010)

RAIRO - Operations Research

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In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.

On European option pricing under partial information

Meng Wu, Jue Lu, Nan-jing Huang (2016)

Applications of Mathematics

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We consider a European option pricing problem under a partial information market, i.e., only the security's price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we...