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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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The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
Kleinow, Torsten; Willder, Mark - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 445-458
Persistent link: https://www.econbiz.de/10003755768
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Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
Frostig, Esther; Zaks, Yaniv; Levikson, Benny - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 459-467
Persistent link: https://www.econbiz.de/10003755773
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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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A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching; Siu, Tak Kuen - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
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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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Prices and sensitivities of Asian options : a survey
Boyle, Phelim P.; Potapchik, Alexander - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10003682191
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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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Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
Chi, Yichun - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 385-396
Persistent link: https://www.econbiz.de/10003966601
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Quantile hedging for equity-linked contracts
Klusik, Przemysław; Palmowski, Zbigniew - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 280-286
Persistent link: https://www.econbiz.de/10008989318