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Stochastic Life Annuities
16 references·2 citing·36 second hop
Stochastic Life Annuities (2007)Stochastic Life AnnuitiesThe log-normal approximation in financial and other computations (2004)The log-normal approximation …The integral of geometric Brownian motion (2001)The integral of geometric Bro…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Exponential Functionals of Brownian Motion and Related Processes (2001)Exponential Functionals of Br…Laguerre Series for Asian and Other Options (2000)Laguerre Series for Asian and…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…On some exponential functionals of Brownian motion (1992)On some exponential functiona…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…Actuarial Mathematics. (1986)Actuarial Mathematics.Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and Stochastic Integrals in the Theory of Continous Trading (1981)Martingales and Stochastic In…Stochastic Modelling of Interest Rates with Applications to Life Contingencies (1980)Stochastic Modelling of Inter…Rates of Return as Random Variables (1976)Rates of Return as Random Var…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Théorie de la spéculation (1900)Théorie de la spéculationValuing guaranteed equity-linked contracts by Laguerre series expansion (2019)Valuing guaranteed equity-lin…Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality (2016)Valuing guaranteed equity-lin…Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)A pricing method for options based on average asset values (1990)Continuous Martingales and Brownian Motion (1991)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Continuous Martingales and Brownian Motion (1999)A Theory of the Term Structure of Interest Rates (1985)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A survey and some generalizations of Bessel processes (2003)Stochastic Differential Equations (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Exponential functionals of Lévy processes (2005)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)Controlled diffusion models for optimal dividend pay-out (1997)Affine processes for dynamic mortality and actuarial valuations (2005)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1986Actuarial Mathematics.623 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1981Martingales and Stochastic Integrals in the Theory of Continous Trading176 cited
  • 2000Laguerre Series for Asian and Other Options143 cited
  • 2001The integral of geometric Brownian motion132 cited
  • 2004The log-normal approximation in financial and other computations102 cited
  • 1980Stochastic Modelling of Interest Rates with Applications to Life Contingencies84 cited
  • 1976Rates of Return as Random Variables

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Cited by

  • 2019Valuing guaranteed equity-linked contracts by Laguerre series expansion28 cited
  • 2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality16 cited