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We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula \[F(\omega)=E[F]+\int_0^TE[D_tF|{\cal F}_t]\diamond W(t)dt\] Here $E[F]$ denotes the generalized expectation, $D_tF(\omega)={{dF}\over{d\omega}}$ is the...
Persistent link: https://www.econbiz.de/10012786992
In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American perpetual put option, when the underlying asset follows this type of process....
Persistent link: https://www.econbiz.de/10012711486
Consider a traditional life insurance contract paid with a single premium. In addition to mortality factors, the relationship between the fixed amount of benefit and the single premium depends on the interest rate (calculation rate). The calculation rate can be interpreted as the average rate...
Persistent link: https://www.econbiz.de/10012791272
In many countries, traditional life insurance products include a fixed percentage guarantee on each year's return. This article presents a model for the valuation of life insurance contracts including a guaranteed minimum return. The model is based on the notion of no arbitrage opportunities...
Persistent link: https://www.econbiz.de/10012790628
We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula <p>\[F(\omega)=E[F]+\int_0^TE[D_tF|\F_t]\diamond W(t)dt\] <p>Here E[F] denotes the generalized expectation, $D_tF(\omega)={{dF}\over{d\omega}}$ is the...</p></p>
Persistent link: https://www.econbiz.de/10005390717
The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider's signal. From rather...
Persistent link: https://www.econbiz.de/10012728514
We consider a situation where relative prices of assets may change continuously and also have discrete jumps at random time points. The problem is the one of portfolio optimization. If the utility function used is the logarithm, we first argue that an optimal investment plan exists. Secondly, we...
Persistent link: https://www.econbiz.de/10008875210
The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider’s signal. From...
Persistent link: https://www.econbiz.de/10005419337
Persistent link: https://www.econbiz.de/10006689275
Persistent link: https://www.econbiz.de/10005521003