𝔖 Bobbio Scriptorium
✦   LIBER   ✦

From perpetual strangles to Russian options

✍ Scribed by Hans U. Gerber; Elias S.W. Shiu

Book ID
103587205
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
396 KB
Volume
15
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

From ruin theory to pricing reset guaran
From ruin theory to pricing reset guarantees and perpetual put options
✍ Hans U. Gerber; Elias S.W. Shiu πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 107 KB

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