Improving the Design of Financial Products in a Multidimensional Black-Scholes Market

DOI10.1080/10920277.2011.10597610zbMath1213.91135OpenAlexW3124138528MaRDI QIDQ3005355

Carole Bernard, Steven Vanduffel, Mateusz Maj

Publication date: 7 June 2011

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

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597610

Mathematics Subject Classification ID

Related Items (5)

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ Optimal payoffs under state-dependent preferences ⋮ Optimal portfolios under worst-case scenarios ⋮ Optimal claims with fixed payoff structure

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• The design of equity-indexed annuities
• A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets
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