Pricing of margrabe options for large investors with application to asset-liability management in life insurance
Erik Bølviken, Frank Proske, Mark Rubtsov
| Year of publication: |
2014
|
|---|---|
| Authors: | Bølviken, Erik ; Proske, Frank ; Rubtsov, Mark |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 2, p. 113-122
|
| Subject: | Margrabe Option | Large Investor | Finite Differences Method | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory | Anlageverhalten | Behavioural finance | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| 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/10010380906