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

Title of this publication is not available (Why is that?)

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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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• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Pricing dynamic guaranteed funds under the hyper-exponential jump-diffusion model
• Dynamic Fund Protection
• Pricing Dynamic Investment Fund Protection
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