Abstract
In the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in Chapter 6.
| Original language | English |
|---|---|
| Qualification | Doctor of Philosophy |
| Awarding Institution |
|
| Supervisors/Advisors |
|
| Award date | 8 May 2009 |
| Place of Publication | Tilburg |
| Publisher | |
| Print ISBNs | 9789056682361 |
| Publication status | Published - 2009 |
Fingerprint
Dive into the research topics of 'Pricing and hedging in incomplete financial markets'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver