Analysis of Supply Factors of the Migrant Workers Based on Comprehensive Fuzzy Evaluation

The factors affecting the supply of the migrant workers are very complex, which is difficult to use a specific number to demonstrate due to factors such as different groups of people, different time and different degrees of effect. This paper adopts the comprehensive fuzzy evaluation method to simulate the main factors affecting the supply of migrant workers including income, cost, expectancy, having a quantitative analysis of their influence on the labor supply of migrant workers. Key words: Comprehensive fuzzy evaluation; Migrant workers; Supply; Factors analysis Résumé: Les facteurs affectant la fourniture des travailleurs migrants sont très complexes, ce qui est difficile à utiliser c’est de démonter un nombre spécifique en raison de facteurs tels que les différents groupes de personnes, de temps différents et les différents degrés d'effet. Ce document adopte la méthode d'évaluation globale floue pour simuler les principaux facteurs affectant l'offre de travailleurs migrants dont le revenu, le coût, l'espérance, ayant une analyse quantitative de leur influence sur l'offre de travail des travailleurs migrants Mots-clés: L’évaluation floue complète; Les travailleurs migrants; L’approvisionnement; L'analyse des facteur

A generalized existence theorem of reflected BSDEs with double obstacles

This paper proves the existence of solutions of one-dimensional reflected backward stochastic differential equations with double obstacles, where the coefficient (or generator) g(t,y,z) is left-Lipschitz in y (may be discontinuous) and Lipschitz in z.Reflected backward stochastic differential equation Generator Comparison theorem

The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being

Valuation of the Vulnerable Option Price Based on Mixed Fractional Brownian Motion

The pricing problem of a kind of European vulnerable option was studied. The mixed fractional Brownian motion and the jump process were used to characterize the evolution of stock prices. The closed-form solution to European option pricing was obtained by applying martingale measure transformation method. At the end of this paper, some numerical experiments were adopted to compare the new pricing formula introduced in this paper with the classical Black-Scholes pricing formula. The result showed that the new pricing formula conformed to the actual financial market. In fact, the option value is positively correlated with the underlying asset price and the company’s asset price and the jump process has significant influence on the value of option

Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact on the option value

A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models

A positivity-preserving numerical method for nonlinear Black-Scholes models is developed in this paper. The numerical method is based on a nonstandard approximation of the second partial derivative. The scheme is not only unconditionally stable and positive, but also allows us to solve the discrete equation explicitly. Monotone properties are studied in order to avoid unwanted oscillations of the numerical solution. The numerical results for European put option and European butterfly spread are compared to the standard finite difference scheme. It turns out that the proposed scheme is efficient and reliable

Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models

This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models. The way of regime-switching Esscher transform is adopted to identify an equivalent martingale measure for pricing vulnerable European options. Explicit analytical pricing formulae for vulnerable European options are derived by risk-neutral pricing theory. For comparison, the other two cases are also considered separately. The first case considers all jump risks as unsystematic risks while the second one assumes all jumps risks to be systematic risks. Numerical examples for the valuation of vulnerable European options are provided to illustrate our results and indicate the influence of the market prices of jump risks on the valuation of vulnerable European options