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Stochastic Volatility And Option Pricing
Stochastic Volatility And Option Pricing Feature article discussing the use of stochastic volatility ... the pricing of investments and options. Asset valuation;Markov Chain; 11067 2/1/2010 12:00:00 AM ...- Authors: Daniel Dufresne
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Stochastic Life Contingencies with Solvency Considerations
Stochastic Life Contingencies with Solvency Considerations This paper addresses the extension ... interest environment and its application to solvency valuation and surplus. A discussion of the paper follows ...- Authors: Daniel Dufresne, Edward Frees, Elias Shiu
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession>Competencies; Financial Reporting & Accounting
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Actuarial Research Clearing House ARCH 1989 Vol. 1 - Stability of Pension Systems When Rates of Return are Random
cost (NC) at every valuation date; and (2) amortize individual inter-valuation gains or losses over ... Benefit outgo Overall contribution Fund level Valuation rate of interest Actuarial loss during (t-l ...- Authors: Daniel Dufresne
- Date: Jan 1989
- Publication Name: Actuarial Research Clearing House
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Fluctuations of Pension Contributions and Fund Level
both when choosing a funding method for the valuation of a particular plan, and also when establishing ... at time t of one unit invested at time 0. The table below shows EU15 and EF15 when ERr= .10, VarR t ...- Authors: Daniel Dufresne
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods
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Some Aspects of Statement of Financial Accounting Standards No. 87
discount rate is the accounting counterpart of the valuation rate of interest used in pension funding. It ... artibrari ly smMl by choosing k small enough. Table 1.1 shows the limit standard deviations of Xt and ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
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Pricing Asian Options: Convergence of Gram-Charlier Series
Kolmogorov-Smirnov test value max x | fˆn(x)− f (x)|, shown in Table 1. In place of the true density f (·) we use the ... degree 4 0.00454614 Normal (degree 0) 0.02378388 TABLE 1. Kolomogorov-Smirnov test statistics Another ...- Authors: Daniel Dufresne, Han-Bo Li
- Date: Apr 2016
- Competency: External Forces & Industry Knowledge
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Sums of Lognormals
of two or more lognormals. Actuarial science: Individual claims are often well represented by a lognormal ... R., and Rudd, A. (1982). Approximate option valuation for arbitrary stochastic processes. J. of Financial ...- Authors: Daniel Dufresne
- Date: Nov 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Current Research on Pension Accounting
many parameters, including - the variability of valuation interest rates, or discount rates as they are ... simulation model was built, incorporating random valuation rates of interest, random rates of return on ...- Authors: Daniel Dufresne
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Defined benefit plans
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A General Formula for Option Prices in s Stochastic Volatility Model
B. (2000). Spanning and derivative- security valuation. J. Financial Economics 55: 205-238. Borovkov ... 895. Carr, P., and Madan, D.B. (1999). Option valuation using the fast Fourier transform. J. Computational ...- Authors: Daniel Dufresne, Stephen Chin
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Distributions of Discounted Values
Distributions of Discounted Values This paper presents a solution to the problem of discounting ... being in between. Thus the choice of a single valuation rate of interest such as r should depend on the ...- Authors: Daniel Dufresne
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods