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Showing 1 to 4 of 4 for “"convex order"”.
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Herd behavior index for bespoke baskets: approximation via convex ordering
… basket options traded in the market. Hence, in order to calculate its HIX, we need an approach for efficient basket option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We …
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Valuation and Risk Measurement of Guaranteed Annuity Options under Stochastic Environment
… of addressing GAO valuation, we derive the convex-order upper and lower bounds of GAO values by employing the comonotonicity theory. As an alternative to affine structure, we construct a more flexible modelling framework that incorporate regime-switching dynamics of interest and mortality …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
In this thesis we derive convex and increasing convex type orderings for multivariate semimartingales and the finite-dimensional distributions of Lévy processes. Appropriate ordering of the semimartingale characteristics implies ordering of the processes. We derive the propagation of order property …
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Exploration vs. exploitation : reducing uncertainty in operational problems
… We model difference in uncertainties using the convex order, a general relation between distributions, which implies that the variance of one distribution is higher than the variance of the other distribution. Using an analysis based on the concept of mean preserving local spread, we show that …