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Stochastic Volatility : Option...
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Stochastic process
282
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Liang, Zongxia
11
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7
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Insurance / Mathematics & economics
European journal of operational research : EJOR
746
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ECONIS (ZBW)
362
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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