“Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000

DOI10.1080/10920277.2001.10595977zbMath1083.91542OpenAlexW2089032159MaRDI QIDQ5718198

Elias S. W. Shiu, Ya-Chun Huang

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595977

Mathematics Subject Classification ID

Related Items (8)

Pricing two-asset alternating barrier options with icicles and their variations ⋮ Outside barrier lookback options with floating strike ⋮ Valuing equity-indexed annuities with icicled barrier options ⋮ Insurance guaranty premiums and exchange options ⋮ Pricing equity-indexed annuities with path-dependent options. ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ “Valuing Equity-Indexed Annuities,” Serena Tiong, October 2000

Cites Work

• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Actuarial bridges to dynamic hedging and option pricing
• Arbitrage Theory in Continuous Time
• Valuing Equity-Indexed Annuities

This page was built for publication: “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000