Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

DOI10.1016/j.insmatheco.2004.06.001zbMath1056.91037OpenAlexW2044043018MaRDI QIDQ704415

Jan Liinev, Griselda Deelstra, Michèle Vanmaele

Publication date: 13 January 2005

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7604/1/gd-0016.pdf

zbMATH Keywords

Conditional expectationBasket optionsStop-loss premiumsSum of dependent random variables

Mathematics Subject Classification ID

Related Items (6)

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Pricing and hedging Asian basket spread options ⋮ Approximate basket options valuation for a jump-diffusion model ⋮ Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method ⋮ General closed-form basket option pricing bounds ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

Cites Work

• The Pricing of Options and Corporate Liabilities
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Pricing of arithmetic basket options by conditioning.
• Bounds for the price of discrete arithmetic Asian options
• Approximated moment-matching dynamics for basket-options pricing
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The value of an Asian option
• Upper and lower bounds for sums of random variables

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