1
-
6
of
6
results (0.53 seconds)
Sort By:
-
A Note on Hedging and the Put Option
A Note on Hedging and the Put Option This note develops the optimality of the put option as a hedging ... against the downside risk of the stock price. In this short note, we ask two questions with the hedge strategy ...- Authors: Xiaochuan Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
-
An Alternative Option Pricing Model
similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based ... based upon an assumption of a lognormal distribution of the price of a risky, non-dividend-paying security ...- Authors: Joseph D Marsden
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
-
Actuarial Approach to Option Pricing
Approach to Option Pricing In this paper we study the pricing of financial options and contingent claims. We ... time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
-
Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions
Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions In 1993 ... 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance ...- Authors: Jacques F Carriere, Kevin Andrew Buhr
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
-
Multiple Currency Option Selection Using Stochastic Constraints
Stochastic Constraints This paper examines the problem of hedging foreign exchange risk across multiple ... options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
-
Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
time models.. The methodology uses stochastic optimization tcchniques where an issuer of a bond is ItTing ... minimize the price of a callable bond in a game against the bondholder. Some flexibility to the model ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models