scientific article; zbMATH DE number 5284332

MaRDI QIDQ3501648zbMATH OpenFDO

Authors Yingdong Deng, Yunzheng Fan, Qizhi He

Publication date 3 June 2008

zbMATH Keywords

Girsanov theoremarbitrageexchange optioninsurance actuarial pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pragmatic insurance option pricing
• Actuarial bridges to dynamic hedging and option pricing
• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Stochastic time changes in catastrophe option pricing
• Risk adjustments of option prices under time-changed dynamics
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Pricing of generalized compound options with random execution time

Cited in

(4)

• Insurance guaranty premiums and exchange options
• Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
• The actuarial pricing of option based on the nonparametric estimation for B-S model under the stochastic interest rates
• Pricing formulae for derivatives in insurance using Malliavin calculus

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