We examine the joint distribution of the time of ruin, the surplus immediately before ruin, the deficit at ruin, and the cause of ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We present two financial applications -the pricin
✦ LIBER ✦
Appraising Commitments and Guarantees with Option Prices
✍ Scribed by SØREN LOENTOFT HANSEN; MICHAEL U. DOTHAN; FRED THOMPSON
- Book ID
- 109164826
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 137 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0275-1100
No coin nor oath required. For personal study only.
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## Abstract After an overview of important developments of option pricing theory, this article describes statistical approaches to modeling the difference between the theoretical and actual prices. An empirical study is given to compare various approaches. __WIREs Comp Stat__ 2011 3 566–576 DOI: 10