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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- 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, Elsevier, vol. 26(C), pages 339-354.
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