Search Results - subject:"minimal market model"

Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic

Fergusson, Kevin - 2020

Persistent link: https://www.econbiz.de/10012243342

Explicit formulae for parameters of stochastic models of a discounted equity index using maximum likelihood estimation with applications

Fergusson, K. - 2017

Persistent link: https://www.econbiz.de/10011716156

Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic

Fergusson, Kevin; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344299

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Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic

Fergusson, Kevin; Platen, Eckhard - 2015

Book / Working Paper

THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

GUO, ZHI JUN; PLATEN, ECKHARD - 2012

minimal market model. It is shown that interest rates do impact on the implied volatility in the long run, even though they …

Persistent link: https://www.econbiz.de/10010883201

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The small and large time implied volatilities in the minimal market model

Guo, Zhi Jun; Platen, Eckhard - 2012

Article

The Small and Large Time Implied Volatilities in the Minimal Market Model

Guo, Zhi; Platen, Eckhard - 2011

Book / Working Paper

Simulation of Diversified Portfolios in a Continuous Financial Market

Platen, Eckhard; Rendek, Renata - 2010

-Uhlenbeck volatility model and a multi-asset version of the minimal market model. All these models are simulated exactly or almost exactly … is documented for different market models. Under the multi-asset minimal market model the equi-weighted index outperforms …

Persistent link: https://www.econbiz.de/10008492107

M6 - On Minimal Market Models and Minimal Martingale Measures

Hulley, Hardy; Schweizer, Martin - 2010

condition (SC). As a consequence, the minimal market model of E. Platen is seen to be directly linked to the minimal martingale …

Persistent link: https://www.econbiz.de/10008455629

Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach

Marquardt, T.; Platen, Eckhard; Jaschke, S. - 2008

particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than … particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than …, minimal market model, variable annuities. 1 Introduction Variable annuities are insurance contracts which are designed to …

Persistent link: https://www.econbiz.de/10004984472

Hedging for the Long Run

Platen, Eckhard; Hulley, Hardy - 2008

; minimal market model; squared Bessel processes; hedge sim- ulations; asset price bubbles. Date: February 12, 2008. 1 1 … volatility function, and fi;· > 0 are flxed parameters. Equa- tions (1){(2) are referred to as the minimal market model (MMM …

Persistent link: https://www.econbiz.de/10004984487

ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE

MILLER, SHANE M.; PLATEN, ECKHARD - 2008

Persistent link: https://www.econbiz.de/10005080450

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Analytic Pricing of Contingent Claims Under the Real-World Measure

Miller, Shane; Platen, Eckhard - 2008

Book / Working Paper

Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options

Hulley, Hardy; Platen, Eckhard - 2007

index described by the minimal market model. …

Persistent link: https://www.econbiz.de/10004984604