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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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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 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
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Robust investment-reinsurance optimization with multiscale stochastic volatility
Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 62 (2015), pp. 245-256
Persistent link: https://www.econbiz.de/10011312060
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Pricing variable annuity guarantees in a local volatility framework
Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663
Persistent link: https://www.econbiz.de/10010227910
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514
Persistent link: https://www.econbiz.de/10010227974
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Valuing inflation-linked death benefits under a stochastic volatility framework
Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
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Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 57 (2014), pp. 58-66
Persistent link: https://www.econbiz.de/10010402734