scientific article; zbMATH DE number 7234612

DOI10.13299/J.CNKI.AMJCU.002093zbMATH Open1449.91155MaRDI QIDQ3307451FDOQ3307451

Authors Wenxin Lv, Yinghui Dong, Sang Wu, Chao Xu

Publication date 12 August 2020

zbMATH Keywords

Gaver-Stehfest algorithmdynamic fund protectionsstochastic barrier, common shock

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74)

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(14)

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• Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model
• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• Pricing dynamic fund protection under hidden Markov models
• Valuation of discrete dynamic fund protection under Lévy processes
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Pricing dynamic fund protections with regime switching
• Dynamic fund protection for property markets
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
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