Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas (Q5029061): Difference between revisions

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+Valuation of guaranteed annuity conversion options.
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+Risk-neutral valuation of participating life insurance contracts
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Reserving for maturity guarantees: Two approaches
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+Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
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+Q3412547
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+Hedging guarantees in variable annuities under both equity and interest rate risks
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+A stochastic calculus model of continuous trading: Complete markets
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+Q4382161
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+Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
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+Pricing and hedging guaranteed annuity options via static option replication.
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+Q3281461
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+Bivariate option pricing using dynamic copula models
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+An equilibrium characterization of the term structure
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+Pricing and hedging guaranteed returns on mix funds
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+Q3498093
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