Valuation of segregated funds: shout options with maturity extensions. (Q1413278): Difference between revisions

@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
+Normal rank
@@ Property / author @@
+Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of Unit-linked Life Insurance Policies
@@ Property / cites work: Pricing of Unit-linked Life Insurance Policies / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked life insurance with endogenous minimum guarantees
+Normal rank
@@ Property / cites work @@
+Pricing and hedging long-term options
@@ Property / cites work: Pricing and hedging long-term options / rank @@
+Normal rank
@@ Property / cites work @@
+Reserving for maturity guarantees: Two approaches
@@ Property / cites work: Reserving for maturity guarantees: Two approaches / rank @@
+Normal rank
@@ Property / cites work @@
+PDE methods for pricing barrier options
@@ Property / cites work: PDE methods for pricing barrier options / rank @@
+Normal rank
@@ Property / cites work @@
+From ruin theory to pricing reset guarantees and perpetual put options
+Normal rank
@@ Property / cites work @@
+Q4863379
@@ Property / cites work: Q4863379 / rank @@
+Normal rank
@@ Property / cites work @@
+Shout options: A framework for pricing contracts which can be modified by the investor
+Normal rank
@@ Property / cites work @@
+An object-oriented framework for valuing shout options on high-performance computer architectures
+Normal rank
@@ Property / cites work @@
+A synthesis of risk measures for capital adequacy
@@ Property / cites work: A synthesis of risk measures for capital adequacy / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0167-6687(01)00072-5
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@@ Property / OpenAlex ID @@
+W2088762864
@@ Property / OpenAlex ID: W2088762864 / rank @@
+Normal rank