Bounds for present value functions with stochastic interest rates and stochastic volatility.

DOI10.1016/S0167-6687(02)00126-9zbMath1092.91527OpenAlexW2119713944MaRDI QIDQ1394966

Jan Dhaene, Rob Kaas, David Vyncke, Marc J. Goovaerts, Ann De Schepper

Publication date: 25 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00126-9

zbMATH Keywords

Stochastic volatilityStochastic interest ratesPresent value functions

Mathematics Subject Classification ID

Related Items (7)

A stochastic order for the analysis of investments affected by the time value of money ⋮ Incorporating a random number of independent competing risks in discounting a continuous uniform cash flow with rate of payment being a random sum ⋮ Stochastic discounting for cost effective replacements of systems under competing catastrophic risks ⋮ Discounted maximum of a random number of random cash flows in optimal decision making ⋮ Discounted minimum of a random number of random variables in replacement of computer systems ⋮ Incorporating concepts of extreme value theory in formulating a discounting model for making optimal decisions in competing risks management ⋮ An easy computable upper bound for the price of an arithmetic Asian option

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