Found 38 Documents (Results 1–38)
Valuing guaranteed minimum death benefits by complex Fourier series expansion. (Chinese. English summary) Zbl 1499.91152
Bankruptcy probability of a lever company: lookback option pricing method. (Chinese. English summary) Zbl 1499.91150
Study on optimal discount coefficient of multi-event catastrophe bonds under risk feedback conditions. (Chinese. English summary) Zbl 1490.91222
MSC:
91G20
Research on flood loss distribution and catastrophe bond pricing based on Bayesian inference. (Chinese. English summary) Zbl 1474.62370
Option pricing based on time-transform and fractional process and simulation analysis. (Chinese. English summary) Zbl 1463.91151
An optimal reinsurance and investment problem with a defaultable security and a stock with Ornstein-Uhlenbeck process. (English) Zbl 1438.91114
Pricing an option-type longevity derivative under a regime-switching O-U stochastic mortality model with jumps. (English) Zbl 1424.91142
Pricing of European option in sub-factional Brownian motion with dividend payments. (Chinese. English summary) Zbl 1413.91095
Valuation of CatEPuts with regime switching. (Chinese. English summary) Zbl 1389.91109
Pricing convertible bonds with counterparty credit risk in a reduced-form model. (Chinese. English summary) Zbl 1374.91128
Integro-differential equations for option prices in Markov switching exponential Lévy models. (English) Zbl 1363.91114
Pricing catastrophe options with stochastic interest rates and compound Poisson losses. (English) Zbl 1349.91274
Pricing derivatives under a Markov skeleton process. (Chinese. English summary) Zbl 1349.91273
Pricing Asian options in a double stochastic jump-diffusion model. (Chinese. English summary) Zbl 1340.91130
Pricing options under two-factor Markov-modulated stochastic volatility models. (English) Zbl 1324.91056
Pricing forward starting call options under a Markov-modulated jump diffusion process. (Chinese. English summary) Zbl 1324.91063
Pricing of extension of European exchange options under Esscher transforms. (Chinese. English summary) Zbl 1324.91058
Pricing CDS under fractional Vasicek interest rate model. (Chinese. English summary) Zbl 1313.91179
The pricing of credit securities with counterparty risk using a contagion model. (English) Zbl 1313.91181
Research on pricing longevity bonds with cohort mortality dependence. (Chinese. English summary) Zbl 1313.91173
Optimal portfolio strategies with mispricing and stochastic volatility. (Chinese. English summary) Zbl 1289.91160
A reduced model with thinning-dependence structure. (Chinese. English summary) Zbl 1289.91185
Fair pricing of credit default swaps in an intensity-based model driven by subordinator processes. (Chinese. English summary) Zbl 1274.91457
Vulnerable European option pricing for two jump-diffusion processes. (Chinese. English summary) Zbl 1265.91070
MSC:
91B25
62P05
Valuation of cross-currency Bermudan swaptions. (Chinese. English summary) Zbl 1249.91131
Multiple jump-diffusion models and vulnerable European option pricing. (Chinese. English summary) Zbl 1249.91134
The martingale pricing for convertible bonds with dividend-paying under stochastic interest. (Chinese. English summary) Zbl 1199.91064
Pricing mortgage insurance with house price driven by Poisson jump diffusion process. (Chinese. English summary) Zbl 1150.91424
Pricing for European weighted geometric average value Asian option. (Chinese. English summary) Zbl 1150.91395
Changes of probability measure and option pricing in jump-diffusion models. (Chinese. English summary) Zbl 1153.60384
Exchange rate model and option pricing. (Chinese. English summary) Zbl 1153.91576
Option pricing problems when stock price returns have hyperbolic distribution. (Chinese. English summary) Zbl 1153.91579
The Lagrange method and option pricing. (Chinese. English summary) Zbl 1153.91539
European option pricing with transaction costs. (Chinese. English summary) Zbl 1051.91508
MSC:
91G20
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