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On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms
16 references·6 citing·30 second hop
On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms (2009)On Pricing and Hedging the No-Negative-Eq…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Commercial Real Estate Analysis and Investments (2000)Commercial Real Estate Analys…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOption pricing by Esscher transforms. (1995)Option pricing by Esscher tra…More on a Stochastic Asset Model for Actuarial Use (1995)More on a Stochastic Asset Mo…Value indices of commercial real estate: A comparison of index construction methods (1994)Value indices of commercial r…Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Price formation and the appraisal function in real estate markets (1991)Price formation and the appra…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…On the probability function in the collective theory of risk (1932)On the probability function i…The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages (2019)The Valuation of No-Negative …Pension schemes versus real estate (2019)Pension schemes versus real e…Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models (2013)Pricing and Hedging Variable …Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences (2012)Living With Ambiguity: Pricin…A Semi-Markov Multiple State Model for Reverse Mortgage Terminations (2012)A Semi-Markov Multiple State …Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (2009)Is the Home Equity Conversion…ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Broken Limits to Life Expectancy (2002)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)Econometric Analysis of Cross Section and Panel Data (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1992Modeling and Forecasting U. S. Mortality2,311 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2000Commercial Real Estate Analysis and Investments549 cited
  • 1932On the probability function in the collective theory of risk376 cited
  • 1991Price formation and the appraisal function in real estate markets329 cited
  • 1994Value indices of commercial real estate: A comparison of index construction methods286 cited
  • 1995

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More on a Stochastic Asset Model for Actuarial Use
271 cited

Cited by

  • 2009Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform76 cited
  • 2012A Semi-Markov Multiple State Model for Reverse Mortgage Terminations72 cited
  • 2013Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models27 cited
  • 2019The Valuation of No-Negative Equity Guarantees and Equity Release Mortgages24 cited
  • 2012Living With Ambiguity: Pricing Mortality‐Linked Securities With Smooth Ambiguity Preferences24 cited
  • 2019Pension schemes versus real estate17 cited