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Volumn 73, Issue 1, 2006, Pages 43-69

The effect of the real option to transfer on the value of guaranteed minimum death benefits

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EID: 33644668105     PISSN: 00224367     EISSN: 15396975     Source Type: Journal    
DOI: 10.1111/j.1539-6975.2006.00165.x     Document Type: Article
Times cited : (25)

References (16)
  • 2
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    • Passport options
    • Delbaen, F., and M. Yor, 2002, Passport Options, Mathematical Finance, 12(4): 299-328.
    • (2002) Mathematical Finance , vol.12 , Issue.4 , pp. 299-328
    • Delbaen, F.1    Yor, M.2
  • 4
    • 31544460576 scopus 로고    scopus 로고
    • (Hoboken, N.J.: John Wiley and Sons)
    • Hardy, M., 2003, Investment Guarantees (Hoboken, N.J.: John Wiley and Sons).
    • (2003) Investment Guarantees
    • Hardy, M.1
  • 5
    • 0002834699 scopus 로고    scopus 로고
    • Local time, Coupling and the passport option
    • Henderson, V., and D. Hobson, 2000, Local Time, Coupling and the Passport Option, Finance and Stochastics, 4(1): 69-80.
    • (2000) Finance and Stochastics , vol.4 , Issue.1 , pp. 69-80
    • Henderson, V.1    Hobson, D.2
  • 6
    • 4544372132 scopus 로고    scopus 로고
    • Passport options with stochastic volatility
    • Henderson, V., and D. Hobson, 2001, Passport Options with Stochastic Volatility, Applied Mathematical Finance, 8(2): 97-118.
    • (2001) Applied Mathematical Finance , vol.8 , Issue.2 , pp. 97-118
    • Henderson, V.1    Hobson, D.2
  • 10
    • 0006206285 scopus 로고    scopus 로고
    • The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds
    • Milevsky, M. A., and S. E. Posner, 2001, The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds, Journal of Risk and Insurance, 68(1): 93-128.
    • (2001) Journal of Risk and Insurance , vol.68 , Issue.1 , pp. 93-128
    • Milevsky, M.A.1    Posner, S.E.2
  • 14
    • 0010553164 scopus 로고    scopus 로고
    • Options on a traded account: Vacation calls, Vacation puts and passport options
    • Shreve, S. E., and J. Vecer, 2000, Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options, Finance and Stochastics, 4:255-274.
    • (2000) Finance and Stochastics , vol.4 , pp. 255-274
    • Shreve, S.E.1    Vecer, J.2
  • 15
    • 85011206248 scopus 로고    scopus 로고
    • Valuing equity-indexed annuities
    • Tiong, S., 2000, Valuing Equity-Indexed Annuities, North American Actuarial Journal 4(4): 149-170.
    • (2000) North American Actuarial Journal , vol.4 , Issue.4 , pp. 149-170
    • Tiong, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.