An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate

DOI10.1007/s10255-018-0759-5zbMath1397.91577OpenAlexW2885468262WikidataQ129382858 ScholiaQ129382858MaRDI QIDQ1782016

Zuo-liang Xu, Cong-cong Xu

Publication date: 18 September 2018

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-018-0759-5

zbMATH Keywords

stochastic interest ratejump-diffusion processesactuarial approachnon-tradable assetsreload option

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A note on the mean correcting martingale measure for geometric Lévy processes
• Note on option pricing by actuarial considerations
• An actuarial approach to option pricing under the physical measure and without market assumptions
• Option pricing under stochastic interest rates: an empirical investigation
• Approximation pricing and the variance-optimal martingale measure
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Option pricing when underlying stock returns are discontinuous
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item