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Volumn 64, Issue 3, 1997, Pages 481-503

Valuation of Early Exercisable Interest Rate Guarantees

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Indexed keywords


EID: 0001079659     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.2307/253761     Document Type: Article
Times cited : (68)

References (21)
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    • forthcoming
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  • 2
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  • 3
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    • Black, F.1    Scholes, M.2
  • 4
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    • Equilibrium Prices of Guarantees under Equity-Linked Contracts
    • Boyle, P. P. and E. S. Schwartz, 1977, Equilibrium Prices of Guarantees under Equity-Linked Contracts, Journal of Risk and Insurance, 44: 639-660.
    • (1977) Journal of Risk and Insurance , vol.44 , pp. 639-660
    • Boyle, P.P.1    Schwartz, E.S.2
  • 5
    • 0001018312 scopus 로고
    • The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee
    • Brennan, M. and E. S. Schwartz, 1976, The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee, Journal of Financial Economics, 3: 195-213.
    • (1976) Journal of Financial Economics , vol.3 , pp. 195-213
    • Brennan, M.1    Schwartz, E.S.2
  • 6
    • 0008643888 scopus 로고
    • Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee
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  • 7
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    • Alternative Characterizations of American Put Options
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  • 8
    • 0346578986 scopus 로고
    • An Exploration of the Immunization Approach to Provisions for Unit-Linked Policies with Guarantees
    • Collins, T. P., 1982, An Exploration of the Immunization Approach to Provisions for Unit-Linked Policies with Guarantees, Journal of the Institute of Actuaries, 109: 241-284.
    • (1982) Journal of the Institute of Actuaries , vol.109 , pp. 241-284
    • Collins, T.P.1
  • 10
    • 38649141305 scopus 로고
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    • Harrison, M. and D. Kreps, 1979, Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, 20: 381-408.
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  • 11
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    • Jamshidian, F., 1992, An Analysis of American Options, Review of Futures Markets, 11: 72-80.
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    • Jamshidian, F.1
  • 14
    • 0024771922 scopus 로고
    • Optimization Problems in the Theory of Continuous Trading
    • Karatzas, I., 1989, Optimization Problems in the Theory of Continuous Trading, SIAM Journal of Control and Optimization, 27: 1221-1259.
    • (1989) SIAM Journal of Control and Optimization , vol.27 , pp. 1221-1259
    • Karatzas, I.1
  • 16
    • 0000886932 scopus 로고
    • The Analytic Valuation of American Options
    • Kim, I. J., 1990, The Analytic Valuation of American Options, Review of Financial Studies, 3: 547-572.
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  • 18
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    • The Value of an Option to Exchange One Asset for Another
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  • 20
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  • 21
    • 0038927259 scopus 로고
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    • (1995) Insurance: Mathematics and Economics , vol.16 , pp. 225-253
    • Nielsen, J.1    Sandmann, K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.