Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
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Publication:5029063
DOI10.1080/10920277.2009.10597548zbMath1483.91242OpenAlexW2019844625MaRDI QIDQ5029063
Publication date: 11 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2009.10597548
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
Dynamic Fund Protection for Property Markets ⋮ Pricing dynamic fund protections with regime switching ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ “Valuation of Discrete Dynamic Fund Protection under Lévy Processes,” Hoi Ying Wong and Ka Wai Lam, April 2009
Cites Work
- A Jump-Diffusion Model for Option Pricing
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- Jump diffusion processes and their applications in insurance and finance
- From ruin theory to pricing reset guarantees and perpetual put options
- Connecting discrete and continuous path-dependent options
- Actuarial bridges to dynamic hedging and option pricing
- A Combinatorial Lemma and Its Application to Probability Theory
- QUANTO LOOKBACK OPTIONS
- On a new approach to calculating expectations for option pricing
- Financial Modelling with Jump Processes
- On The Expected Discounted Penalty function for Lévy Risk Processes
- Option pricing when underlying stock returns are discontinuous
- Pricing Discrete Dynamic Fund Protections
- Pricing Dynamic Investment Fund Protection
- Dynamic Fund Protection
- Pricing Perpetual Options for Jump Processes
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