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This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with...
The privatization of Chinese enterprises in a low-legal-protection environment raises the question as to how minority shareholders are assured that their capital will not be expropriated. This paper sheds some light on this issue by examining the influence of controlling shareholders on the...
In his book (1993) Kariya proposed a government bond (GB) pricing model that simultaneously values individual fixed-coupon (non-defaultable) bonds of different coupon rates and maturities via a discount function approach, and Kariya and Tsuda (Financ Eng Japanese Mark 1:1–20, 1994) verified its...
We develop a new method to approximate the asymmetric multivariate probability density function (pdf) of financial asset returns by using series expansions; a rate of convergence for the mean absolute error of this approximation is also provided. We then propose the method of maximum likelihood...
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