Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier

DOI10.1007/S11424-019-7400-4MaRDI QIDQ2287376zbMATH OpenOpenAlexWikidataFDO

Authors Yinghui Dong, Chao Xu, Sang Wu

Publication date 20 January 2020

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-019-7400-4

zbMATH Keywords

reflection principlezero-coupon bondVasicek interest ratechained dynamic fund protectionstochastic protection

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

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Cross a barrier to reach barrier options
• Dynamic Fund Protection
• From ruin theory to pricing reset guarantees and perpetual put options
• Martingale methods in financial modelling.
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing dynamic fund protection under hidden Markov models
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Pricing dynamic fund protections with regime switching
• The pricing of dynamic fund protection with default risk
• Valuation of discrete dynamic fund protection under Lévy processes

Cited in

(5)

• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
• scientific article; zbMATH DE number 7234466 (Why is no real title available?)
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• Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model

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