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Designing and pricing guarantee options in defined contribution pension plans
Consiglio, Andrea; Tumminello, Michele; Zenios, Stauros … - In: Insurance / Mathematics & economics 65 (2015), pp. 267-279
Persistent link: https://www.econbiz.de/10011428673
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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
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Numerical Solutions of PIDEs for the Prices of Bond Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy - 2010
In this paper, we show numerically how to calculate the price of bond options, swaps, caps and floors for Levy one …
Persistent link: https://www.econbiz.de/10013144189
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Analyses of retirement benefits with options
Lin, Chung-gee; Yang, Wei-ning; Chen, Shu-chuan - In: Economic modelling 36 (2014), pp. 130-135
Persistent link: https://www.econbiz.de/10010412430
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Pricing of bond options : unspanned stochastic volatility and random field models
Repplinger, Detlef - 2008
Persistent link: https://www.econbiz.de/10013278100
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a … deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by …
Persistent link: https://www.econbiz.de/10013521005
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First-order calculus and option pricing
Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508100