We show the foundations of evaluating embedded put options in insurance is the same using either a jump diffusion or a stochastic volatility underlying process when time goes to infinity. We use the structure preserving martingale measure, the Esscher transform in the evaluation process. Examples of the BNS and the Heston stochastic volatility are illustrated. The talk is based on joint work with Fred Espen Benth.
Rodwell Kufakunesu: On Embedded Options - Do We Really Need Jumps And Stochastic Volatility?
Rodwell Kufakunesu, Uni. Pretoria, holder et seminar med tittelen: On Embedded Options - Do We Really Need Jumps And Stochastic Volatility?
Published June 12, 2015 1:22 PM
- Last modified June 12, 2015 1:22 PM