“Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003

DOI10.1080/10920277.2003.10596120zbMath1085.91511OpenAlexW2066699513MaRDI QIDQ5715939

Marc Decamps, Marc J. Goovaerts

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596120

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Optimal Dividends
• Valuing Equity-Indexed Annuities

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