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Another Perspective on Black-ScholesOption Formulas
Another Perspective on Black-ScholesOption Formulas This article shows a different form of the Black-Scholes formula for European calls and puts under risk-neutral assumptions, that permits a ...- Authors: Mark Evans
- Date: Feb 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Asset modeling
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Discussion of Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits,
Discussion of Pricing and Risk Management of Variable Annuities with Multiple Guaranteed Minimum Benefits, The purpose of this discussion is to introduce a few additional points and discuss how ...- Authors: Mark Evans, Application Administrator
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Actuarial Practice Forum
- Topics: Annuities>Variable annuities; Economics>Financial economics; Modeling & Statistical Methods>Asset modeling; Modeling & Statistical Methods>Stochastic models
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More Techniques For Better Attributions
More Techniques For Better Attributions By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, ...- Authors: Mark Evans
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Estimation methods
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Implications of Real World Customer Behavior in RiskNeutral Hedging
Implications of Real World Customer Behavior in RiskNeutral Hedging This article discusses a simple simulation model that analyzes the implications of using real world assumptions for determining ...- Authors: Mark Evans
- Date: Aug 2006
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Dynamic simulation models