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Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

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  • Vanmaele, Michele
  • Deelstra, Griselda
  • Liinev, Jan

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  • Vanmaele, Michele & Deelstra, Griselda & Liinev, Jan, 2004. "Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 343-367, October.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:2:p:343-367
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    References listed on IDEAS

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    1. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
    2. Deelstra, G. & Liinev, J. & Vanmaele, M., 2004. "Pricing of arithmetic basket options by conditioning," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 55-77, February.
    3. Griselda Deelstra & Jan Liinev & Michèle Vanmaele, 2004. "Pricing of arithmetic basket options by conditioning," ULB Institutional Repository 2013/7600, ULB -- Universite Libre de Bruxelles.
    4. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    5. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    6. Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
    2. Grzegorz Darkiewicz & Griselda Deelstra & Jan Dhaene & Tom Hoedemakers & Michèle Vanmaele, 2009. "Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 847-866, December.
    3. Xu, Guoping & Zheng, Harry, 2009. "Approximate basket options valuation for a jump-diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 188-194, October.
    4. Griselda Deelstra & Alexandre Petkovic & Michèle Vanmaele, 2008. "Pricing and Hedging Asian Basket Spread Options," Working Papers ECARES 2008_004, ULB -- Universite Libre de Bruxelles.
    5. Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
    6. Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009. "Basket Options on Heterogeneous Underlying Assets," Cahiers de recherche 0918, CIRPEE.
    7. Kwangil Bae, 2019. "Valuation and applications of compound basket options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 704-720, June.
    8. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
    9. Alexandre Petkovic, 2009. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models," ULB Institutional Repository 2013/210357, ULB -- Universite Libre de Bruxelles.
    10. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.

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