An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate

DOI10.1007/S10255-018-0759-5MaRDI QIDQ1782016zbMATH OpenOpenAlexWikidataFDO

Authors Cong-cong Xu, Zuoliang Xu

Publication date 18 September 2018

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-018-0759-5

zbMATH Keywords

jump-diffusion processesstochastic interest rateactuarial approachnon-tradable assetsreload option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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Cited in

(1)

• scientific article; zbMATH DE number 7338768 (Why is no real title available?)

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