Bachelier model with stopping time and its insurance application

DOI10.1016/J.INSMATHECO.2020.04.012MaRDI QIDQ784430zbMATH OpenOpenAlexFDO

Authors Anna Glazyrina, Alexander Melnikov

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.04.012

zbMATH Keywords

stopping timedefaultBlack-Scholesquantile hedgingcall optionBachelier modelabsorbing barrierequity-linked life insurance contract

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Hedging Equity-Linked Life Insurance Contracts
• Pricing of Unit-linked Life Insurance Policies
• Quantile hedging
• Quantile hedging and its application to life insurance
• Quantile hedging for equity-linked contracts
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• Testing Statistical Hypotheses
• The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions
• The importance of strictly local martingales; applications to radial Ornstein-Uhlenbeck processes

Cited in

(1)

• On modifications of the Bachelier model

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