Convex upper and lower bounds for present value functions

Applied Stochastic Models in Business and Industry

Volumn 17, Issue 2, 2001, Pages 149-164

  Vyncke, D ^a,b   Goovaerts, M ^a   Dhaene, J ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b ACADEMIC MEDICAL CENTER   (Netherlands)

Author keywords

Comonotonicity; Convex order; Present value; Vasicek model

Indexed keywords

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; FINANCIAL DATA PROCESSING; MATHEMATICAL MODELS; MONTE CARLO METHODS; RANDOM PROCESSES;

CUMULATIVE DISTRIBUTION FUNCTIONS; PRESENT VALUE FUNCTIONS; STOCHASTIC DIFFERENTIAAAL EQUATIONS;

VALUE ENGINEERING;

EID: 0035369228     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.437     Document Type: Article

References (12)

1. An equilibrium characterization of the term structure
2. Term structure movements and pricing interest rate contingent claims
3. Comonotonicity and maximal stop-loss premiums
4. Stochastic upper bounds for present value functions
5. Supermodular ordering and stochastic annuities
6. An easy computable upper bound for the price of an arithmetic Asian option
7. The value of an Asian option