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~isPartOf:"Insurance / Mathematics & economics"
~person:"Ceci, Claudia"
~person:"Ziveyi, Jonathan"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Lebensversicherung
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Life insurance
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Option pricing theory
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Föllmer-Schweizer decomposition
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Fourier Space Time-stepping (FST) algorithm
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Guaranteed Minimum Benefits (GMB)
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Hedge ratios
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Ceci, Claudia
Ziveyi, Jonathan
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Melʹnikov, Aleksandr V.
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Shen, Yang
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Insurance / Mathematics & economics
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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Shen, Yang
;
Sherris, Michael
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 127-137
Persistent link: https://www.econbiz.de/10011530941
Saved in:
2
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Ignatieva, Ekaterina
;
Song, Andrew
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 286-300
Persistent link: https://www.econbiz.de/10011597296
Saved in:
3
Pricing European options on deferred annuities
Ziveyi, Jonathan
;
Blackburn, Craig
;
Sherris, Michael
- In:
Insurance / Mathematics & economics
52
(
2013
)
2
,
pp. 300-311
Persistent link: https://www.econbiz.de/10009736104
Saved in:
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