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Canonical Valuation of Mortality-Linked Securities

✍ Scribed by Johnny Siu-Hang Li; Andrew Cheuk-Yin Ng

Book ID: 109158675
Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 319 KB
Volume: 78
Category: Article
ISSN: 0022-4367
DOI: 10.1111/j.1539-6975.2010.01394.x

No coin nor oath required. For personal study only.

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## Abstract Canonical valuation is a nonparametric method for valuing derivatives proposed by M. Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio have been studied in simulation settings, applications of the methodology to traded derivative data are rar