Actuarial bridges to dynamic hedging and option pricing

DOI10.1016/0167-6687(96)85007-4zbMath0896.62112OpenAlexW1976953378MaRDI QIDQ1381457

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(96)85007-4

zbMATH Keywords

Wiener process optimal stopping equivalent martingale measure arbitrage fundamental theorem of asset pricing perpetual American options dynamic hedging risk-neutral measure smooth pasting condition Esscher transforms optional sampling theorem security prices high contact condition Margrabe option option-pricing theory Poisson process model self-financing replicating portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

An actuarial approach to pricing barrier options, Pricing two-asset alternating barrier options with icicles and their variations, Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform, On the expectation of total discounted operating costs up to default and its applications, Quanto option pricing with a jump diffusion process, Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility, Option pricing under regime-switching models: novel approaches removing path-dependence, Robustness of quadratic hedging strategies in finance via Fourier transforms, European option pricing with market frictions, regime switches and model uncertainty, Insurance guaranty premiums and exchange options, Exponential change of measure applied to term structures of interest rates and exchange rates, An economic premium principle in a multiperiod economy., Rational hedging and valuation of integrated risks under constant absolute risk aversion., The concept of comonotonicity in actuarial science and finance: applications., Moment generating function approach to pricing interest rate and foreign exchange rate claims., Pricing equity-indexed annuities with path-dependent options., Discussion on “Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty,” by Ya-Wen Hwang, Shih-Chieh Chang, and Yang-Che Wu, Volume 19(2), Valuing equity-linked death benefits and other contingent options: a discounted density approach, Pricing catastrophe swaps: a contingent claims approach, Markov-modulated jump-diffusions for currency option pricing, An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk, VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD, Discussion on “A General Semi-Markov Model for Coupled Lifetimes,” by Min Ji and Rui Zhou, Volume 23(1), Pricing maturity guarantee with dynamic withdrawal benefit, Decision principles derived from risk measures, Option pricing and Esscher transform under regime switching, GARCH option pricing: A semiparametric approach, On option pricing under a completely random measure via a generalized Esscher transform, LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS, Exchange option pricing in jump-diffusion models based on esscher transform, Pricing Lookback Options and Dynamic Guarantees, Pricing Perpetual Fund Protection with Withdrawal Option, “Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003, Investing for Retirement, Valuing Equity-Indexed Annuities, “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000, State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates, “Valuing Equity-Indexed Annuities,” Serena Tiong, October 2000, Skewness and Stock Option Prices, A note on convergence of option prices and their Greeks for Lévy models, On some claims related to Choquet integral risk measures, Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models, Budget-constrained optimal insurance with belief heterogeneity, Valuation of contingent-claims characterising particular pension schemes, Risk process with stochastic income and two-step premium rate, A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing, Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk, Perpetual Exchange Options under Jump-Diffusion Dynamics, Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing, Dynamic Greeks, Actuarial risk measures for financial derivative pricing, Quantification of Model Risk in Quadratic Hedging in Finance, Closed-form valuations of basket options using a multivariate normal inverse Gaussian model, Hans U. Gerber and Elias S. W. Shiu’s Discussion on “Agricultural Insurance Ratemaking: Development of a New Premium Principle,” by Wenjun Zhu, Ken Seng Tan, and Lysa Porth, Volume 23(4), Reply to Hans U. Gerber and Elias S. W. Shiu on Their Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle", Abylay Zhexembay's Discussion on “Agricultural Insurance Ratemaking: Development of a New Premium Principle,” by Wenjun Zhu, Ken Seng Tan, and Lysa Porth, Volume 23(4), Asymmetrically tempered stable distributions with applications to finance, Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility, Valuation of an option using non-parametric methods, Valuation of Discrete Dynamic Fund Protection Under Lévy Processes, “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009

Cites Work