Valuation of discrete dynamic fund protection under Lévy processes

DOI10.1080/10920277.2009.10597548MaRDI QIDQ5029063zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Combinatorial Lemma and Its Application to Probability Theory
• A jump-diffusion model for option pricing
• Actuarial bridges to dynamic hedging and option pricing
• Connecting discrete and continuous path-dependent options
• Dynamic Fund Protection
• Financial Modelling with Jump Processes
• Fourier inversion formulas in option pricing and insurance
• From ruin theory to pricing reset guarantees and perpetual put options
• Jump diffusion processes and their applications in insurance and finance
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• On a new approach to calculating expectations for option pricing
• On the expected discounted penalty function for Lévy risk processes
• Option pricing when underlying stock returns are discontinuous
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Pricing Perpetual Options for Jump Processes
• QUANTO LOOKBACK OPTIONS
• Reset and withdrawal rights in dynamic fund protection
• The Wiener-Hopf equation whose kernel is a probability density

Cited in

(9)

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• scientific article; zbMATH DE number 7234466 (Why is no real title available?)
• scientific article; zbMATH DE number 7234612 (Why is no real title available?)
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009
• Dynamic fund protection for property markets
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