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Calibrating the Black-Derman-Toy model : some theoretical results

Boyle, Phelim P.; Ken Seng Tan; Tian, Weidong - In: Applied mathematical finance 8 (2001) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10001625667

Applications of randomized low discrepancy sequences to the valuation of complex securities

Ken Seng Tan; Boyle, Phelim P. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1747-1782

Persistent link: https://www.econbiz.de/10001508772

Annuity and Insurance Choice Under Habit Formation

Boyle, Phelim P. - 2020

This paper examines the impact of habit formation on the demand for life-contingent contracts in a life-cycle model. We derive an analytical solution for the optimal consumption, portfolio choice, and life insurance/annuity purchases. We illustrate the mechanism by which the consumption habit...

Persistent link: https://www.econbiz.de/10012837723

Annuity and insurance choice under habit formation

Boyle, Phelim P.; Ken Seng Tan; Wei, Pengyu; Zhuang, … - In: Insurance / Mathematics & economics 105 (2022), pp. 211-237

Persistent link: https://www.econbiz.de/10013349013

Portfolio management with constraints

Boyle, Phelim P.; Tian, Weidong - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 319-343

Persistent link: https://www.econbiz.de/10003626539

Robust stochastic discount factors

Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122

Persistent link: https://www.econbiz.de/10003742222

Contingent capital as an asset class

Tian, Weidong - In: The journal of investing 23 (2014) 1, pp. 98-106

Persistent link: https://www.econbiz.de/10011312851

Spanning with indexes

Tian, Weidong - In: Journal of mathematical economics 53 (2014), pp. 111-118

Persistent link: https://www.econbiz.de/10011297134

Callable contingent capital : valuation and default risk

Tian, Weidong - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 112-130

Persistent link: https://www.econbiz.de/10011818797

The quality option and timing option in futures contracts

Boyle, Phelim P. - In: The journal of finance : the journal of the American … 44 (1989) 1, pp. 101-113

Persistent link: https://www.econbiz.de/10001063255