Discrete sums of geometric Brownian motions, annuities and Asian options-Reference-Cited by-同舟云学术

Discrete sums of geometric Brownian motions, annuities and Asian options

Published:2016-09 Issue: Volume:70 Page:19-37
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Pirjol Dan,Zhu Lingjiong

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

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

Reference42 articles.

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2. American Academy of Actuaries, 2005. Recommended approach for setting regulatory risk-based capital requirements for variable annuities and similar products. Boston, MA.

3. Asmussen, S., Jensen, J.L., Rojas-Nandayapa, L., 2011. A Literature Review on Lognormal Sums, University of Queensland preprint.

4. Asymptotics of sums of lognormal random variables with Gaussian copula;Asmussen;Statist. Probab. Lett.,2008

5. Exponential functionals of Lévy processes;Bertoin;Probab. Surv.,2005

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