Pricing a Chained Dynamic Fund Protection Under Vasicek Interest Rate Model with Stochastic Barrier
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-019-7400-4.pdf
Reference17 articles.
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3. Imai J and Boyle P P, Dynamic fund protection, N. Amer. Actuarial J., 2001, 5(3): 31–47.
4. Gerber H U and Shiu E S, Pricing perpetual fund protection with withdrawal option, N. Amer. Actuarial J., 2003, 7(2): 60–77.
5. Jeon J, Yoon J H, and Park C R, The pricing of dynamic fund protection with default risk, J. Comput. Appl. Math., 2018, 333: 116–130.
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