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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1070202
Description: The problem of pricing arithmetic Asian options is nontrivial, and has attracted much interest over the last two decades. This paper provides a method for calculating bounds on option prices and appro ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/166314
Description: An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexpone ... More
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/70913
Description: We reduce a problem of pricing continuously monitored defaultable securities (barrier options, corporate debts) in a stochastic interest rate framework to calculations of boundary crossing probabiliti ... More
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