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.
- 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 004330, Universidad del Rosario.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alessandro De Gregorio & Stefano M. Iacus, 2007.
"Change point estimation for the telegraph process observed at discrete times,"
- 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.
More about this item
Keywordsjump telegraph model; perfect hedging; quantile hedging; pure endowment; equity-linked life insurance;
- 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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