Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts
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References listed on IDEAS
- Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
- Nikita Ratanov, 2007.
"A jump telegraph model for option pricing,"
Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 575-583.
- Nikita Ratanov, 2004. "A Jump Telegraph Model for Option Pricing," Borradores de Investigación 1919, Universidad del Rosario.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Elisa Nicolato & Emmanouil Venardos, 2003. "Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type," Mathematical Finance, Wiley Blackwell, vol. 13(4), pages 445-466, October.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Nikita Ratanov, 2004. "Option Pricing Model Based on Telegraph Processes with Jumps," Borradores de Investigación 4330, Universidad del Rosario.
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Cited by:
- Alessandro De Gregorio & Stefano M. Iacus, 2007.
"Change point estimation for the telegraph process observed at discrete times,"
Papers
0705.0503, arXiv.org.
- Alessandro De Gregorio & Stefano Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1053, Universitá degli Studi di Milano.
- Alessandro Gregorio & Stefano Iacus, 2008.
"Parametric estimation for the standard and geometric telegraph process observed at discrete times,"
Statistical Inference for Stochastic Processes, Springer, vol. 11(3), pages 249-263, October.
- Stefano Iacus & Alessandro De Gregorio, 2006. "Parametric estimation for the standard and the geometric telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1033, Universitá degli Studi di Milano.
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More about this item
Keywords
jump telegraph model; perfect hedging; quantile hedging; pure endowment; equity-linked life insurance;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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