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“Pricing Lookback Options and Dynamic Guarantees”, Hans U. Gerber and Elias S.W. Shiu, January 2003

✍ Scribed by Deelstra, Griselda

Book ID
127343442
Publisher
Informa UK (Taylor & Francis)
Year
2003
Tongue
English
Weight
79 KB
Volume
7
Category
Article
ISSN
1092-0277

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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 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 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