Pricing rate of return guarantees in a Heath–Jarrow–Morton framework
- 1 December 1999
- journal article
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 25 (3) , 307-325
- https://doi.org/10.1016/s0167-6687(99)00020-7
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- Reserving for maturity guarantees: Two approachesInsurance: Mathematics and Economics, 1997
- Valuation of Early Exercisable Interest Rate GuaranteesJournal of Risk and Insurance, 1997
- Changes of numéraire, changes of probability measure and option pricingJournal of Applied Probability, 1995
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1Mathematical Finance, 1992
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- Martingales and stochastic integrals in the theory of continuous tradingStochastic Processes and their Applications, 1981
- Martingales and arbitrage in multiperiod securities marketsJournal of Economic Theory, 1979
- Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value GuaranteeThe Journal of Business, 1979
- The pricing of equity-linked life insurance policies with an asset value guaranteeJournal of Financial Economics, 1976
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973