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An Asian Option Approach to the Valuation of Insurance Futures Contracts
15 references·2 citing·39 second hop
An Asian Option Approach to the Valuation of Insurance Futures Contracts (1998)An Asian Option Approach to the Valuation…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Insurance Risk Models (1994)Insurance Risk ModelsBESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…The Valuation of Multiple Claim Insurance Contracts (1992)The Valuation of Multiple Cla…Reinsurance and the liability insurance crisis (1992)Reinsurance and the liability…On the Corporate Demand for Insurance: Evidence from the Reinsurance Market (1990)On the Corporate Demand for I…A pricing method for options based on average asset values (1990)A pricing method for options …Risk‐Based Premiums for Insurance Guaranty Funds (1988)Risk‐Based Premiums for Insur…Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Price Regulation in Property‐…The Valuation of Multivariate Contingent Claims in Discrete Time Models (1984)The Valuation of Multivariate…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…An Economic Premium Principle (1980)An Economic Premium PrincipleThe Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The pricing of commodity contracts (1976)The pricing of commodity cont…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Extracting Information from the Market to Price the Weather Derivatives (2006)Extracting Information from t…Basis Risk with PCS Catastrophe Insurance Derivative Contracts (1999)Basis Risk with PCS Catastrop…Essays in the Theory of Risk-Bearing. (1972)Determinants of corporate borrowing (1977)The Determinants of Firms' Hedging Policies (1985)Stock Versus Mutual Ownership Structures: The Risk Implications (1993)On the Corporate Demand for Directors' and Officers' Insurance (1997)The Relationship Between Insurance and Economic Development: 85 Empirical Papers for a Review of the Literature (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing when underlying stock returns are discontinuous (1976)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Capital and risk in property-liability insurance markets (1996)The Impact of Firm Risk on Property-Liability Insurance Prices (1996)Capital Allocation for Insurance Companies (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Who Should Buy Portfolio Insurance? (1980)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Gain, Loss, and Asset Pricing (2000)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)A Quick Algorithm for Pricing European Average Options (1991)The value of an Asian option (1995)On convex principles of premium calculation (1985)A Universal Framework for Pricing Financial and Insurance Risks (2002)Insurance Risk and Ruin (2005)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Financial Intermediation and Delegated Monitoring (1984)Myopic Loss Aversion and the Equity Premium Puzzle (1995)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1990On the Corporate Demand for Insurance: Evidence from the Reinsurance Market485 cited
  • 1980An Economic Premium Principle332 cited
  • 1988Risk‐Based Premiums for Insurance Guaranty Funds284 cited
  • 1994Insurance Risk Models276 cited
  • 1986Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach234 cited
  • 1992Reinsurance and the liability insurance crisis152 cited
  • 1984The Valuation of Multivariate Contingent Claims in Discrete Time Models104 cited
  • 1992The Valuation of Multiple Claim Insurance Contracts37 cited

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  • 1999

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Basis Risk with PCS Catastrophe Insurance Derivative Contracts
74 cited
  • 2006Extracting Information from the Market to Price the Weather Derivatives28 cited