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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Pricing related projects
Flam, S. D.; Gassmann, H. I. - In: Coping with uncertainty : modeling and policy issues, (pp. 301-313). 2006
Persistent link: https://www.econbiz.de/10003394901
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance liabilities as closely as possible. We minimize the L1 error...
Persistent link: https://www.econbiz.de/10011515725
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - In: Operations research 69 (2021) 4, pp. 1134-1157
Persistent link: https://www.econbiz.de/10012625163
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Optimal mean-variance efficiency of a family with life insurance under inflation risk
Liang, Zongxia; Zhao, Xiaoyang - In: Insurance / Mathematics & economics 71 (2016), pp. 164-178
Persistent link: https://www.econbiz.de/10011630638
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Multicriteria asset allocation in practice
Dächert, Kerstin; Grindel, Ria; Leoff, Elisabeth; … - In: OR spectrum : quantitative approaches in management 44 (2022) 2, pp. 349-373
Persistent link: https://www.econbiz.de/10013277563
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Annuitization and asset allocation under exponential utility
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 79 (2018), pp. 167-183
Persistent link: https://www.econbiz.de/10011825434
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The journal of computational finance
London : Infopro Digital Risk; früher: London : Risk …; … - 1.1998 -
Persistent link: https://www.econbiz.de/10000662860
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Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750