Bachelier model with stopping time and its insurance application

DOI10.1016/j.insmatheco.2020.04.012zbMath1446.91060OpenAlexW3024737047MaRDI QIDQ784430

Anna Glazyrina, Alexander V. Melnikov

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.012

zbMATH Keywords

defaultstopping timeBlack-Scholesquantile hedgingcall optionBachelier modelabsorbing barrierequity-linked life insurance contract

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (1)

On modifications of the Bachelier model

Cites Work

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