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~isPartOf:"Insurance / Mathematics & economics"
~person:"Palmowski, Zbigniew"
~person:"Sherris, Michael"
~person:"Siu, Tak Kuen"
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Option pricing theory
9
Optionspreistheorie
9
Lebensversicherung
4
Life insurance
4
Esscher transform
3
Markov chain
3
Markov-Kette
3
Private Altersvorsorge
3
Private retirement provision
3
Stochastic process
3
Stochastischer Prozess
3
Altersvorsorge
2
Hedging
2
Lévy process
2
Regime-switching
2
Retirement provision
2
Variable annuity
2
Allgemeines Gleichgewicht
1
Analysis
1
Catastrophe risk
1
Contingent convertible bond
1
Contract
1
Contract theory
1
Convertible bond
1
Disaster
1
Drawdown
1
Drawup
1
Equity-indexed annuity
1
Equivalent martingale measure
1
Fair valuation
1
Fast Fourier transform
1
Finanzmathematik
1
General equilibrium
1
Generalized Esscher transform
1
Guaranteed minimum maturity benefit
1
HJB equation
1
Heavy-tailed data
1
Hedge ratios
1
Insurance
1
Insurance contract
1
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10
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English
10
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Palmowski, Zbigniew
Sherris, Michael
Siu, Tak Kuen
Shen, Yang
6
Pelsser, Antoon André Jean
5
Ziveyi, Jonathan
5
Yang, Hailiang
4
Dhaene, Jan
3
Feng, Runhuan
3
Gerber, Hans U.
3
Shiu, Elias S. W.
3
Tunaru, Radu
3
Wong, Hoi Ying
3
Yamazaki, Kazutoshi
3
Zeng, Yan
3
Bo, Lijun
2
Chen, Ping
2
Costabile, Massimo
2
Deelstra, Griselda
2
Delong, Łukasz
2
Fusai, Gianluca
2
Godin, Frédéric
2
Grasselli, Martino
2
Hainaut, Donatien
2
Hao, Xuemiao
2
Kang, Boda
2
Landriault, David
2
Li, Bin
2
Li, Xuan
2
Li, Zhongfei
2
Liang, Zongxia
2
Lin, X. Sheldon
2
Melʹnikov, Aleksandr V.
2
Palmowski, Z.
2
Plat, Richard
2
Pérez, José-Luis
2
Schmeiser, Hato
2
Shimizu, Yasutaka
2
Trottier, Denis-Alexandre
2
Wang, Yongjin
2
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
5
Applied mathematical finance
4
Annals of finance
3
Economic modelling
3
Computational economics
2
The journal of futures markets
2
American journal of agricultural economics
1
Annals of Finance
1
Annals of operations research
1
Asia-Pacific financial markets
1
Astin bulletin : the journal of the International Actuarial Association
1
CRIEFF Discussion Papers
1
Discussion paper series
1
Economic Modelling
1
Energy economics
1
European journal of operational research : EJOR
1
Finance and stochastics
1
IMA journal of management mathematics
1
Journal of Risk and Financial Management
1
Journal of economic dynamics & control
1
Journal of risk and financial management : JRFM
1
New methods in fixed income modeling : fixed income modeling
1
Operations research letters
1
Quantitative finance
1
Risk and decision analysis
1
Risks
1
Risks : open access journal
1
The European journal of finance
1
The journal of derivatives : JOD
1
UNSW Australian School of Business Research Paper
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UNSW Business School Research Paper
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ECONIS (ZBW)
10
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1
European
option
pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
Saved in:
2
Valuation of contingent convertible catastrophe bonds : the case for equity conversion
Burnecki, Krzysztof
;
Giuricich, Mario Nicoló
; …
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 238-254
Persistent link: https://www.econbiz.de/10012105571
Saved in:
3
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:
4
A self-exciting threshold jump-diffusion model for
option
valuation
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 168-193
Persistent link: https://www.econbiz.de/10011530946
Saved in:
5
Pricing insurance drawdown-type contracts with underlying Lévy assets
Palmowski, Zbigniew
;
Tumilewicz, Joanna
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011825327
Saved in:
6
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
7
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:
8
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
9
Quantile hedging for equity-linked contracts
Klusik, Przemysław
;
Palmowski, Zbigniew
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 280-286
Persistent link: https://www.econbiz.de/10008989318
Saved in:
10
A hidden Markov regime-switching model for
option
valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
Saved in:
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