Pricing perpetual options with stochastic discount interest rates
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Social Sciences,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11135-010-9358-0.pdf
Reference11 articles.
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3. Gerber H.U., Landry B.: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insur. Math. Econ. 22, 263–276 (1998)
4. Gerber H.U., Shiu E.S.W.: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insur. Math. Econ. 21, 129–137 (1997)
5. Gerber H.U., Shiu E.S.W.: Pricing perpetual options for jump processes. N Am Actuar. J. 2(3), 101–112 (1998)
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