This paper develops an incomplete equilibrium model with multi-agents' different risk attitudes and heterogeneous income/payout profiles. Particularly, we apply its concrete and computationally tractable model to reinsurance derivatives pricing and life-cycle investment, which are important for...

This paper develops a rigorous asymptotic expansion method with its numerical scheme for the Cauchy-Dirichlet problem in second order parabolic partial differential equations (PDEs). As an application, we propose a new approximation formula for pricing barrier option in the log-normal SABR...

An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida [68] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. [46], [47] and [53] provide explicit formulas of conditional...