Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Hans U. Gerber; Elias S. W. Shiu; Hailiang Yang
| Year of publication: |
2015
|
|---|---|
| Authors: | Gerber, Hans U. ; Shiu, Elias S. W. ; Yang, Hailiang |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 313-325
|
| Subject: | Equity-linked death benefits | Binomial and trinomial tree models | Random walk | Geometric stopping | Esscher transform | Random Walk | Optionspreistheorie | Option pricing theory | Sterblichkeit | Mortality |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011398088