Pricing of margrabe options for large investors with application to asset-liability management in life insurance
Year of publication: |
2014
|
---|---|
Authors: | Bølviken, Erik ; Proske, Frank ; Rubtsov, Mark |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 2, p. 113-122
|
Subject: | Margrabe Option | Large Investor | Finite Differences Method | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Optionsgeschäft | Option trading | Institutioneller Investor | Institutional investor |
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