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An Alternative Option Pricing Model
(8) C o =~,~ 00 I e-rT + p - [A(m,o~T) - l][uo~17] - B(m,o~tT) oZT/2 - u"*/2du Xe -uZ/2du ' (9) ... D(m,o2T), or 2 2 (17) B(mo2T) = A2(m,o2T) - 2A(m,o T) + D(m,o T). Combining (17) with (14) gives ...- 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
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A Primer on Credit Derivatives
downturn and exacerbate liquidity and volatility. 17 Insurers have often resorted to a strategy of selling ... credit protection with a combined market share of 17 percent. Insurance companies are also significant ...- Authors: Stephen P D'Arcy, James P McNichols, Xinyan Zhao
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives
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Valuing American Options in a Path Simulation Model
[8], [9], [10], [12], [13], [14], [15], [16], [17], [18], [19], [20], [21], [22], and [23]. The standard ... Proceedings of the 2nd AFIR Colloquium 1 (1990): 237-66. 17. PEDERSEN, H. W., AND SHIU, E. S. W. "Pricing of ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions
Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions ... random variable Z, we have E[Z l :hvY3] = E(ZIJ2], (17) ProoJ. Omitted. See [2, p. 308]. D We will also ...- 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
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Option Pricing by Esscher Transforms
related papers in the finance literature are [16], [17], [21], [37], [50], [56], [57], [58], [66], [75] ... IV. Option Pricing by Esscher Transforms 85 17. BOYLE, EE, AND TSE, Y.K. "An Algorithm for Com- ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods