PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
From MaRDI portal
Publication:4673847
DOI10.1111/j.0960-1627.2004.00195.xzbMath1134.91471MaRDI QIDQ4673847
Publication date: 9 May 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00195.x
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items
Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application, GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS, INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT, Bond indifference prices, Data Breach CAT Bonds: Modeling and Pricing, AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION, OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS, Pricing catastrophe swaps: a contingent claims approach, Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates, Indifference prices of structured catastrophe (CAT) bonds, Pricing and simulating catastrophe risk bonds in a Markov-dependent environment, Indifference pricing of insurance-linked securities in a multi-period model, Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences, Catastrophe risk bonds with applications to earthquakes, Dynamic exponential utility indifference valuation, INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK, Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- On the pricing of contingent claims under constraints
- Equity-linked life insurance: A model with stochastic interest rates
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
- Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
- Pricing of Unit-linked Life Insurance Policies
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- The Mathematics of Financial Derivatives
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Catastrophe Risk Bonds
- Valuing Equity-Indexed Annuities