“Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009

DOI10.1080/10920277.2009.10597573zbMATH Open1483.91243OpenAlexW2046430819MaRDI QIDQ5029092FDOQ5029092

Authors: Jun Yang 

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597573

Mathematics Subject Classification ID

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

Cites Work

• Actuarial bridges to dynamic hedging and option pricing
• Valuation of discrete dynamic fund protection under Lévy processes
• Interview with Srinivasa Varadhan

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