PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
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Cites work
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Cited in
(25)- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Pricing derivatives of American and game type in incomplete markets
- Indifference pricing of insurance-linked securities in a multi-period model
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
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- Dynamic exponential utility indifference valuation
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- Pricing risky point with incomplete information under stochastic interest rate
- Indifference valuation of mortgage-backed securities in the presence of prepayment risk
- Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
- Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
- Guarantee valuation in notional defined contribution pension systems
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- Indifference valuation in incomplete binomial models
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- Adaptation Time to Climate-Induced Extreme Events—Impact of Trend, Seasonality, and Interest Rate Stochasticity
- Robust indifference valuation of catastrophe bonds
- Storm CAT Bond: Modeling and Valuation
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
- Indifference prices of structured catastrophe (CAT) bonds
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