Valuation of segregated funds: shout options with maturity extensions.
type: Item
instance of: scholarly article
title: Valuation of segregated funds: shout options with maturity extensions.
zbMATH Open document ID: 1055.91036
DOI: 10.1016/S0167-6687(01)00072-5
author: H. Windcliff
author: P. A. Forsyth
author: K. R. Vetzal
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2003989
zbMATH Keywords: Maturity guarantees
zbMATH Keywords: Option pricing
zbMATH Keywords: Linear complementarity
MaRDI profile type: Publication
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full work available at URL: s0167-6687(01)00072-5
OpenAlex ID: W2088762864
description: scientific article; zbMATH DE number 2003989