Pricing rate of return guarantees in a Heath–Jarrow–Morton framework-Reference-Cited by-同舟云学术

Pricing rate of return guarantees in a Heath–Jarrow–Morton framework

Published:1999-12 Issue:3 Volume:25 Page:307-325
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Miltersen Kristian R.,Persson Svein-Arne

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference24 articles.

1. Pricing options on risky assets in a stochastic interest rate economy;Amin;Mathematical Finance,1992

2. Bhattacharya, S., Constantinides, G.M. (Eds.), 1989. Theory of Valuation. Frontiers of Modern Financial Theory, Studies in Financial Economics vol. 1. Rowman & Littlefield, Totowa, NJ, USA.

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Reserving for maturity guarantees; two approaches;Boyle;Insurance: Mathematics and Economics,1997

5. The pricing of equity-linked life insurance policies with an asset value guarantee;Brennan;Journal of Financial Economics,1976

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