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Conference Paper: Geometric Stopping of a Random Walk and Its Applications to Valuing Equity-linked Death Benefits
Title | Geometric Stopping of a Random Walk and Its Applications to Valuing Equity-linked Death Benefits |
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Authors | |
Issue Date | 2016 |
Citation | 2016 Workshop on Stochastic Control and Financial Applications, Hong Kong, 16-17 August 2016 How to Cite? |
Abstract | We study discrete-time models in which death bene ts can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it su ces to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted bene t payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the
Wiener-Hopf factorization. This is a joint paper with Hans U. Gerber and Elias S.W. Shiu. |
Persistent Identifier | http://hdl.handle.net/10722/239150 |
DC Field | Value | Language |
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dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2017-03-08T08:25:06Z | - |
dc.date.available | 2017-03-08T08:25:06Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | 2016 Workshop on Stochastic Control and Financial Applications, Hong Kong, 16-17 August 2016 | - |
dc.identifier.uri | http://hdl.handle.net/10722/239150 | - |
dc.description.abstract | We study discrete-time models in which death bene ts can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it su ces to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted bene t payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener-Hopf factorization. This is a joint paper with Hans U. Gerber and Elias S.W. Shiu. | - |
dc.language | eng | - |
dc.relation.ispartof | Workshop on Stochastic Control and Financial Applications, 2016 | - |
dc.title | Geometric Stopping of a Random Walk and Its Applications to Valuing Equity-linked Death Benefits | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.identifier.hkuros | 263541 | - |