Valuation of segregated funds: Shout options with maturity extensions

Insurance: Mathematics and Economics

Volumn 29, Issue 1, 2001, Pages 1-21

  Windcliff, H ^a   Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Linear complementarity; Maturity guarantees; Option pricing; Segregated funds; Shout options

Indexed keywords

EID: 0002452482     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00072-5     Document Type: Article

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