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

DOI10.1080/10920277.2009.10597573MaRDI QIDQ5029092zbMATH OpenOpenAlexFDO

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
• Interview with Srinivasa Varadhan
• Valuation of discrete dynamic fund protection under Lévy processes

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