Reset and withdrawal rights in dynamic fund protection
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference11 articles.
1. Discussion on pricing perpetual fund protection with withdrawal option;Chu;North American Actuarial Journal,2003
2. Options with multiple reset rights;Dai;International Journal of Theoretical and Applied Finance,2003
3. Dixit, A.K., Pindyck, R.S., 1994. Investment Under Uncertainty. Princeton University Press, Princeton.
4. Pricing discrete dynamic fund protections;Fung;North American Actuarial Journal,2003
5. Pricing dynamic investment fund protection;Gerber;North American Actuarial Journal,2000
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2. The pricing of dynamic fund protection with default risk;Journal of Computational and Applied Mathematics;2018-05
3. Pricing dynamic fund protections for a hyperexponential jump diffusion process;Communications in Statistics - Theory and Methods;2017-09-06
4. Pricing dynamic fund protection under hidden Markov models;IMA Journal of Management Mathematics;2016-09-21
5. Indifference fee rate for variable annuities;Applied Mathematical Finance;2016-07-03
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