Pricing Dynamic Investment Fund Protection
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Recommendations
- The pricing of dynamic fund protection with default risk
- Pricing dynamic fund protections under a stochastic boundary
- scientific article; zbMATH DE number 7234612
- Pricing dynamic fund protections with regime switching
- Dynamic Fund Protection
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- scientific article; zbMATH DE number 7234466
- Pricing dynamic fund protection under hidden Markov models
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Pricing Perpetual Fund Protection with Withdrawal Option
Cites work
- From ruin theory to pricing reset guarantees and perpetual put options
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 50702 (Why is no real title available?)
- scientific article; zbMATH DE number 3240796 (Why is no real title available?)
- Pricing Perpetual Options for Jump Processes
Cited in
(35)- Optimal surrender strategies for equity-indexed annuity investors
- Long-term optimal portfolios with floor
- Analytic solution for American strangle options using Laplace-Carson transforms
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Pricing and hedging guaranteed returns on mix funds
- The market pricing of the lifeboat provision in a closed-end fund
- Protection of a company issuing a certain class of participating policies in a complete market framework
- Valuing guarantees on spending funded by endowments
- scientific article; zbMATH DE number 7234466 (Why is no real title available?)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Option on a unit-type closed-end investment fund
- Pricing maturity guarantee under a refracted Brownian motion
- Pricing dynamic fund protections under a stochastic boundary
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Valuation of discrete dynamic fund protection under Lévy processes
- Dynamic fund protection for property markets
- Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model
- Pricing Lookback Options and Dynamic Guarantees
- Pricing Perpetual Fund Protection with Withdrawal Option
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- Pricing Discrete Dynamic Fund Protections
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Dynamic Fund Protection
- Arbitrage problems with reflected geometric Brownian motion
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- Pricing maturity guarantee with dynamic withdrawal benefit
- The pricing of dynamic fund protection with default risk
- Valuation of American maximum exchange rate quanto lookback options
- Designing and valuing new equity-linked insurance products for couples
- Reset and withdrawal rights in dynamic fund protection
- Pricing dynamic fund protections with regime switching
- Optimal portfolio management with American capital guarantee
- Pricing the equity-linked and principal-protected securities with cap and path dependence
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