Pricing Lookback Options and Dynamic Guarantees

By Hans U. Gerber A.S.A., E. S. S. A.S.A.. 2003

72 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b1ac11b792abcc9f0f350296abf6d931007c093c

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In Finance

1. Masaaki Kijima
2. Tony Siu Tung Wong
3. Fabio Mercurio
4. Yukio Muromachi

Citations in the corpus

• Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, methodology): “The forward valuation method is a special case of the change-of-numeraire method of German et al. (1995), which is a very useful approach for pricing derivatives under stochastic interest rates.”