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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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Lookback options and dynamic fund protection under multiscale stochastic volatility
Wong, Hoi Ying; Chan, Chun Man - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 357-385
Persistent link: https://www.econbiz.de/10003755752
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Calculating implied volatility using the bisection algorithm : a note
Berry, R. H.; Zuo, X. - In: Applied economics letters 16 (2009) 13/15, pp. 1399-1402
Persistent link: https://www.econbiz.de/10003894265
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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
Xu, Guoping; Zheng, Harry - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 415-422
Persistent link: https://www.econbiz.de/10008746991
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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
van Haastrecht, Alexander; Plat, Richard; Pelsser, … - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-277
Persistent link: https://www.econbiz.de/10008747073
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Markov-modulated jump : diffusions for currency option pricing
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: Insurance / Mathematics & economics 46 (2010) 3, pp. 461-469
Persistent link: https://www.econbiz.de/10003981142
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Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196
Persistent link: https://www.econbiz.de/10010515891
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A note on optimal investment-consumption-insurance in a Lévy market
Guambe, Calisto; Kufakunesu, Rodwell - In: Insurance / Mathematics & economics 65 (2015), pp. 30-36
Persistent link: https://www.econbiz.de/10011422856