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The Actuary
assumption for underlying assets in the context of a “dynamic” version of Gerber-Shiu’s option-pricing model ... “On Pricing Derivatives under GARCH Models: A Dynamic Gerber-Shiu’s Approach.” The model proposed is ...- Authors: Christian J DesRochers, Mark E Litow, Patrick J Dunks, Loretta Jacobs, Eric P Goetsch, Scott Weltz
- Date: Jun 2004
- Publication Name: The Actuary Magazine