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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits

Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681

Persistent link: https://www.econbiz.de/10010407941

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

Option pricing under multifractional Brownian motion in a risk neutral framework

Di Sciorio, Fabrizio; Mattiozzi, Silvia - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 3, pp. 273-283

Persistent link: https://www.econbiz.de/10012618054

Lévy jump risk : evidence from options and returns

Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10010375952

Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Stochastic idiosyncratic cash flow risk and real options : implications for stock returns

Bhamra, Harjoat Singh; Shim, Kyung Hwan - In: Journal of economic theory 168 (2017), pp. 400-431

Persistent link: https://www.econbiz.de/10011747518

Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns

Bhamra, Harjoat Singh - 2016

Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...

Persistent link: https://www.econbiz.de/10013007739

Jump risk implicit in options market

Chen, Qiang; Han, Yu; Huang, Ying; Jiang, George J. - 2025

Persistent link: https://www.econbiz.de/10015339175

Modeling market risk in a jump-diffusion setting : a generalized Hofmann-Platen-Schweizer-Model

Wiesenberg, Holger - 1998

Persistent link: https://www.econbiz.de/10000986536