Work

Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes

Year: 2019

Type: article

Source: Communication in Statistics- Theory and Methods

DOI: 10.1080/03610926.2019.1589514

Authors: Qian Zhao, Peng Li, Jie Zhang

Institutions: Shanghai University of International Business and Economics, Shanghai Lixin University of Accounting and Finance

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Natural Science Foundation of Shanghai, National Natural Science Foundation of China, Higher Education Discipline Innovation Project

Awards: 次流动性市场中保险人的最优清算与最优投资策略研究, G5264896223, G5299476074, G6317899841, G7524868893, G8353878891

OpenAlex ID: W2990541763

FWCI:

Cites: 15

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Related to: 10