We propose a parsimonious multi-asset Heston model and provide an easy-to-implement calibration algorithm. The model is customized to pricing multi-asset options in markets with liquidly traded single-asset options but no liquidly traded cross-asset options. In this situation, single-asset model...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>Many equity-linked life insurance products offer the possibility to surrender policies prematurely. Secondary markets for policies with surrender guarantees influence both policyholders and insurers. We show that secondary markets lead to a gap in policy value...</p>

In this paper we extend a reduced form model for the valuation of employee share options (ESOs) to incorporate employee departure, and company takeover. We also allow for performance linked vesting and other exotic features specific to ESOs. We clarify the assumptions underlying the reduced form...

We consider a highly-qualified individual with respect to her choice between two distinct career paths. She can choose between a mid-level management position in a large company and an executive position within a smaller listed company with the possibility to directly affect the company’s...