Shanle Wu

Publications (9)1.29 Total impact

• Article: On barrier strategy dividends with Parisian implementation delay for classical surplus processes

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we apply a single barrier strategy to optimise dividend payments in the situation where there is a time lag d>0 between decision and implementation. Using a classical surplus process with exponentially distributed jumps, we obtain the optimal barrier b* which maximises the expected present value of dividends.
  Insurance Mathematics and Economics 01/2009; 45(2):195-202. · 1.29 Impact Factor
• Source

  Available from: lse.ac.uk

  Article: Ruin probabilities of the Parisian type for small claims

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. We obtain the probability of ruin in the infinite horizon for the case when the process starts from zero and the asymptotic form of the probability of ruin in the infinite horizon for the case when the process starts from the point far above zero. We see that in the small claim case an asymptotic formula similar to Cramér’s formula is true.
• Article: Barrier strategies with Parisian delay

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we apply the single barrier strategy to optimize the dividend payment in the situation where there is a time lag d > 0 between decision and implementation. Using a Brownian motion with drift as the surplus process, we obtain the optimal barrier b* which maximises the expected present value of dividends. We also show that the longer the implementation delay, the smaller the optimal barrier will be.
• Source

  Available from: lse.ac.uk

  Article: Semi-Markov model for excursions and occupation time of Markov processes

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we study the excursion time and occupation time of a Markov process below or above a given level by using a simple two states semi-Markov model. In mathematical finance, these results have an important application in the valuation of path dependent options such as Parisian options and cumulative Parisian options. We introduce a new type of Parisian option, single barrier two-sided Parisian option and extend the concept of a ruin probability in ruin theory to a Parisian type of ruin probability.
• Source

  Available from: lse.ac.uk

  Article: Brownian excursions outside a corridor and two-sided Parisian options

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit expression for the Laplace transform of its price.
• Source

  Available from: lse.ac.uk

  Article: Two-side Parisian option with single barrier

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we study the excursion times of a Brownian motion with drift below and above a given level by using a simple two states semi-Markov model. In mathematical finance, these results have an important application in the valuation of path dependent options such as Parisian options. Based on our results, we introduce a new type of Parisian options, single barrier two-sided Parisian options, and give an explicit expression for the Laplace transform of its price formula.
• Article: Perturbed Brownian motion and its application to Parisian option pricing

  Shanle Wu, Angelos Dassios
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  ABSTRACT: In this paper, we study the excursion times of a Brownian motion with drift below and above a given level by using a simple two-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of path-dependent options such as Parisian options. Based on our results, we introduce a new type of Parisian options, single-barrier two-sided Parisian options, and give an explicit expression for the Laplace transform of its price formula.
• Source

  Available from: lse.ac.uk

  Article: Parisian ruin with exponential claims

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we extend the concept of ruin in risk theory to the Parisian type of ruin. For this to occur, the surplus process must fall below zero and stay negative for a continuous time interval of specified length. Working with a classical surplus process with exponential jump size, we obtain the Laplace transform of the time of ruin and the probability of ruin in the infinite horizon. We also consider a diffusion approximation and use it to obtain similar results for the Brownian motion with drift.
• Source

  Available from: lse.ac.uk

  Article: Brownian excursions in a corridor and related Parisian options

  Angelos Dassios, Shanle Wu
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  ABSTRACT: In this paper, we study the excursion time of a Brownian motion with drift inside a corridor by using a four states semi-Markov model. In mathematical finance these results have an important application in the valuation of options whose prices depend on the time their underlying assets prices spend between two different values. In this paper, we introduce the Parisian corridor option and obtain an explicit expression for the Laplace transform of its price formula.