Valuation of discrete dynamic fund protection under Lévy processes
From MaRDI portal
Publication:5029063
DOI10.1080/10920277.2009.10597548zbMATH Open1483.91242OpenAlexW2019844625MaRDI QIDQ5029063FDOQ5029063
Authors: Hoi Ying Wong, Ka Wai Lam 
Publication date: 11 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2009.10597548
Recommendations
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- scientific article; zbMATH DE number 7234612
- Dynamic Fund Protection
- Pricing dynamic fund protections with regime switching
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- A jump-diffusion model for option pricing
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
- A Combinatorial Lemma and Its Application to Probability Theory
- Fourier inversion formulas in option pricing and insurance
- Connecting discrete and continuous path-dependent options
- The Wiener-Hopf equation whose kernel is a probability density
- On a new approach to calculating expectations for option pricing
- QUANTO LOOKBACK OPTIONS
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Pricing Perpetual Options for Jump Processes
- Jump diffusion processes and their applications in insurance and finance
- From ruin theory to pricing reset guarantees and perpetual put options
- On the expected discounted penalty function for Lévy risk processes
- Actuarial bridges to dynamic hedging and option pricing
- Pricing Dynamic Investment Fund Protection
- Dynamic Fund Protection
- Reset and withdrawal rights in dynamic fund protection
- Pricing Discrete Dynamic Fund Protections
Cited In (9)
- Reset and withdrawal rights in dynamic fund protection
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
- Pricing dynamic fund protections with regime switching
- “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009
- Dynamic fund protection for property markets
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Title not available (Why is that?)
- Title not available (Why is that?)
This page was built for publication: Valuation of discrete dynamic fund protection under Lévy processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5029063)
