Pricing perpetual options for jump processes

North American Actuarial Journal

Volumn 2, Issue 3, 1998, Pages 101-107

  Gerber, Hans U ^a   Shiu, Elias S W ^b  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011209680     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.1998.10595736     Document Type: Article

References (12)

1. Feller, W. 1966. An Introduction to Probability Theory and Its Applications, Vol. 2. New York: Wiley.
2. Gerber, H.U., and Landry, B. 1998. “On the Discounted Penalty at Ruin in a Jump-Diffusion and the Perpetual Put Option,” Insurance: Mathematics and Economics 22:263–76.
3. Gerber, H.U., and Shiu, E.S.W. 1994. “Martinǵale Approach to Pricinǵ Perpetual American Options,” ASTIN Bulletin: Journal of the International Actuarial Association 24:195–220.
4. Gerber, H.U., and Shiu, E.S.W. 1996a. “Actuarial Bridǵes to Dynamic Hedinǵ and Option pricinǵ,” Insurance: Mathematics and Economics 18:183–218.
5. Gerber, H.U., and Shiu, E.S.W. 1996b. “Martinǵale Approach to Pricinǵ Perpetual American Options on Two Stocks,” Mathematical Finance 6:303–322.
6. Gerber, H.U., and Shiu, E.S.W. 1997. “From Ruin Theory to Option pricinǵ,” Joint Day Proceedinǵs Volume of XXVIIIth International ASTIN Colloquium/7th International AFIR Colloquium, pp. 157–176.
7. Gerber, H.U., and Shiu, E.S.W. 1998. “On the Time Value of Ruin,” North American Actuarial Journal 2, no. 1:48–78.
8. Lamberton, D., and Lapeyre, B. 1996. Introduction to Stochastic Calculus Applied to Finance. London: Chapman & Hall.
9. Lundberg, F. 1932. “Some Supplementary Researches on the Collective Risk Theory,” Skandinavisk Aktuarietidskrift 15: 137–158.
10. Merton, R.C. 1973. “Theory of Rational Option pricinǵ,” Bell Journal of Economics and Manaǵement Science 4:141–183.
11. Michaud, F. 1997. “Shifted Poisson Processes and the pricinǵ of Perpetual American Options,” Workinǵ paper 97.01, University of Lausanne, HEC, Switzerland.
12. Samuelson, P.A. 1965. “Rational Theory of Warrant pricinǵ,” Industrial Manaǵement Review 6, no. 2:13–32.