In reinforcement learning, an agent interacts with its environment to act according to a policy in accordance with the observation state; these are executed based on a class of neural networks. In the interaction between states and actions, the series of decision sequences are often described...

This paper uses a multivariate normal inverse Gaussian model to develop closed-form pricing formulas for both geometric and arithmetic basket options. For geometric basket options, an exact analytical solution is possible; for arithmetic basket options, the formula is an approximation. The model...

In this article, we construct a general model, which considers the borrower's financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default...

With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...

The article makes two contributions to the literature. The first contribution is to derive a closed-form solution of Taiwanese capped options. We also provide the properties of Taiwanese capped options and the phenomenon of delta jump at monitoring dates. When the interest rate changes...

This article provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option's maturity, but also considers the correlations among the option...

The authors analyze the impact of equity-based compensation on managerial risk-taking behavior in Chinese listed firms from January 2006 to July 2011. They find that greater risk-taking incentives lead executives to invest more in research and development (R&D) projects and less in capital...

This paper aims to establish a portfolio strategy using information of lead–lag relationship. The efficient frontier in mean–variance theory has confirmed that the spectrum strategy established by the lead–lag relationship yields superior performance assuming the same volatility. And then...

As the underpricing of warrants remains unsolved after many adjustments presented by previous researchers, we further investigate the impact of the warrant introduction on the underlying stock return processes. This research attempts to determine whether the introduction of warrants influences...