Geometric stopping of a random walk and its applications to valuing equity-linked death benefits (Q495497)
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scientific article; zbMATH DE number 6481783
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Geometric stopping of a random walk and its applications to valuing equity-linked death benefits |
scientific article; zbMATH DE number 6481783 |
Statements
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits (English)
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14 September 2015
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equity-linked death benefits
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binomial and trinomial tree models
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random walk
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geometric stopping
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Esscher transform
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0.8030596375465393
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0.7917545437812805
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0.7501311302185059
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0.749289870262146
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0.736659586429596
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