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Multiple Currency Option Selection Using Stochastic Constraints
either moves up to S,,t+l -- S, tui with probability p, or moves down to Si,t+l = S, td~ with probability ... f~ (2) e ('-'~Dat -d l p, = (3) u~ - di where r: U. S. interest rate. r,1: Foreign interest ...- Authors: David C Thurston, Kelly T Au, Joel R Barber
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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A Note on Hedging and the Put Option
he has a concave utility function U(x) such that U'(x) • 0 and U"(x) '0 . Now the investor needs to ... hedging plan H(X), the investor's expected utility is E[U(X 6 H(X) -P)], With buying tile put option with ...- Authors: Xiaochuan Wang
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Investment strategy - Finance & Investments
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Actuarial Approach to Option Pricing
1 Actuarial Approach to Option Pricing Hans U. Gerber Ecole des hautes 6tudes commerciales Universit6 ... stochastic processes. Forj = O, 1,2 . . . . . let S(j) denote the price of a stock a timej. Assume that ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Valuation of a Catastrophe Insurance Futures Contract Using Compound Poisson Claim Assumptions
273 Acknowledgements This working paper w~s typeset using the TF~ typesetting system created by ... referenced doublespace.sty by Stephen Page and smaller, s~y by Berme Cosell. As with any document preparation ...- Authors: Jacques F Carriere, Kevin Andrew Buhr
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Finance & Investments>Risk measurement - Finance & Investments
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Stochastic Optimization Techniques for Pricing Callable Bonds: Continuous Time Approach
bond CB and its counterpart regular Bond B s with sinking fund S. Assume that the schedule of sinking fund ... and Ps -price of bond B s . Then Optimization Problem I P, = rain P b s ,S This fact explains why ...- Authors: Mark Saksonov
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models