Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 35 (2004)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
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- 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.
- 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 637-54, May-June.
- 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.
- Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
- 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.
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