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“Pricing Perpetual Options for Jump Processes”, Hans U. Gerber and Elias S.W. Shiu, July 1998

✍ Scribed by Zhang, Xiaolan


Book ID
127120131
Publisher
Informa UK (Taylor & Francis)
Year
1998
Tongue
English
Weight
320 KB
Volume
2
Category
Article
ISSN
1092-0277

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From ruin theory to pricing reset guaran
✍ 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