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From ruin theory to pricing reset guarantees and perpetual put options

4 references·5 citing·30 second hop

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References

1998On the Time Value of Ruin786 cited
1997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin205 cited
1998On the discounted penalty at ruin in a jump-diffusion and the perpetual put option180 cited
1998Pricing Perpetual Options for Jump Processes52 cited

Cited by

2010Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model45 cited
2003The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion45 cited
2001Dynamic Fund Protection37 cited
2007Lookback options and dynamic fund protection under multiscale stochastic volatility30 cited
2004Pricing American currency options in an exponential Lévy model30 cited

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