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Phelim P. Boyle · Study
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Author
Phelim P. Boyle
35 works
· latest 2022
· 3 institutions
cluster: provisional
ORCID 0009-0004-9907-7813
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35
Citations
4,994
Works here
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Most cited in this library
Monte Carlo methods for security pricing
1997 · 856 citations
A Lattice Framework for Option Pricing with Two State Variables
1988 · 473 citations
Option Replication in Discrete Time with Transaction Costs
1992 · 411 citations
Numerical Evaluation of Multivariate Contingent Claims
1989 · 335 citations
Equilibrium Prices of Guarantees under Equity-Linked Contracts
1977 · 253 citations
Works
35 shown
Annuity and insurance choice under habit formation
Insurance Mathematics and Economics
·
2022
·
4 authors
·
Open access
21
citations
Explicit Representation of Cost-Efficient Strategies
Finance
·
2014
·
3 authors
·
Open access
47
citations
Explicit Representation of Cost-Efficient Strategies
SSRN Electronic Journal
·
2012
·
3 authors
·
preprint
·
Open access
29
citations
Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
Management Science
·
2011
·
4 authors
188
citations
Locally Capped Investment Products and the RetailInvestor
The Journal of Derivatives
·
2011
·
3 authors
51
citations
S harpe, W illiam F .
Encyclopedia of Quantitative Finance
·
2010
·
1 author
·
other
192
citations
Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy
The Journal of Derivatives
·
2009
·
2 authors
30
citations
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification
SSRN Electronic Journal
·
2009
·
4 authors
·
preprint
·
Open access
73
citations
The design of equity-indexed annuities
Insurance Mathematics and Economics
·
2008
·
2 authors
46
citations
PORTFOLIO MANAGEMENT WITH CONSTRAINTS
Mathematical Finance
·
2007
·
2 authors
·
Open access
65
citations
Prices and sensitivities of Asian options: A survey
Insurance Mathematics and Economics
·
2007
·
2 authors
65
citations
Pricing exotic options under regime switching
Insurance Mathematics and Economics
·
2006
·
2 authors
134
citations
The 1/n Pension Investment Puzzle
North American Actuarial Journal
·
2004
·
2 authors
85
citations
Guaranteed Annuity Options
Astin Bulletin
·
2003
·
2 authors
·
Open access
143
citations
An improved simulation method for pricing high-dimensional American derivatives
Mathematics and Computers in Simulation
·
2003
·
3 authors
25
citations
Dynamic Fund Protection
North American Actuarial Journal
·
2001
·
2 authors
37
citations
Derivatives : The Tools That Changed Finance
·
2001
·
2 authors
68
citations
Pricing Lookback and Barrier Options under the CEV Process
Journal of Financial and Quantitative Analysis
·
1999
·
4 authors
124
citations
An explicit finite difference approach to the pricing of barrier options
Applied Mathematical Finance
·
1998
·
2 authors
88
citations
Bounds on contingent claims based on several assets
Journal of Financial Economics
·
1997
·
1 author
65
citations
Reserving for maturity guarantees: Two approaches
Insurance Mathematics and Economics
·
1997
·
2 authors
139
citations
Monte Carlo methods for security pricing
Journal of Economic Dynamics and Control
·
1997
·
3 authors
856
citations
Optimal Portfolio Selection with Transaction Costs
North American Actuarial Journal
·
1997
·
2 authors
48
citations
Quasi-Monte Carlo Methods in Numerical Finance
Management Science
·
1996
·
3 authors
243
citations
Advances in Futures and Options Research
·
1996
·
1 author
107
citations
Futures and Options: Theory and Applications.
The Journal of Finance
·
1993
·
3 authors
·
other
71
citations
Option Replication in Discrete Time with Transaction Costs
The Journal of Finance
·
1992
·
2 authors
411
citations
Numerical Evaluation of Multivariate Contingent Claims
Review of Financial Studies
·
1989
·
2 authors
335
citations
The Quality Option and Timing Option in Futures Contracts
The Journal of Finance
·
1989
·
1 author
80
citations
Pricing and hedging capped options
Journal of Futures Markets
·
1989
·
2 authors
30
citations
A Lattice Framework for Option Pricing with Two State Variables
Journal of Financial and Quantitative Analysis
·
1988
·
1 author
473
citations
Fertility trends, excess mortality, and the Great Irish Famine
Demography
·
1986
·
2 authors
·
Open access
145
citations
Discretely adjusted option hedges
Journal of Financial Economics
·
1980
·
2 authors
194
citations
Social Security Wealth and Private Saving in Canada
Canadian Journal of Economics/Revue canadienne d économique
·
1979
·
2 authors
33
citations
Equilibrium Prices of Guarantees under Equity-Linked Contracts
Journal of Risk & Insurance
·
1977
·
2 authors
253
citations