Open AccessAn empirical study on asymmetric jump diffusion for option and annuity pricing
Author(s) -
Lau Kein Joe,
Goh Yong Kheng,
An-Chow Lai
Publication year - 2019
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.5136417
Subject(s) - jump diffusion , jump , annuity , econometrics , volatility (finance) , empirical research , valuation of options , economics , diffusion process , diffusion , jump process , actuarial science , life annuity , mathematics , finance , statistics , physics , economy , pension , quantum mechanics , thermodynamics , service (business)
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom