An Actuarial Approach to Reload Option Valuation for a Non-tradable Risk Assets under Jump-diffusion Process and Stochastic Interest Rate

作者：Xu, Cong-cong; Xu, Zuo-liang^*

来源：Acta Mathematicae Applicatae Sinica-English Series, 2018, 34(3): 451-468.

DOI：10.1007/s10255-018-0759-5

• Non-tradable assets
• reload option
• actuarial approach
• jump-diffusion processes
• stochastic interest rate

We use an actuarial approach to estimate the valuation of the reload option for a non-tradable risk asset under the jump-diffusion processes and Hull-White interest rate. We verify the validity of the actuarial approach to the European vanilla option for non-tradable assets. The formulas of the actuarial approach to the reload option are derived from the fair premium principle and the obtained results are arbitrage. Numerical experiments are conducted to analyze the effects of different parameters on the results of valuation as well as their differences from those obtained by the no-arbitrage approach. Finally, we give the valuations of the reload options under different parameters.

• 出版日期2018-7
• 单位中国人民大学; 石家庄铁道大学