The concept of comonotonicity in actuarial science and finance: applications
Tài liệu tham khảo
Black, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637, 10.1086/260062
De Schepper, 1994, An analytical inversion of a Laplace transform related to annuities certain, Insurance: Mathematics & Economics, 14, 33, 10.1016/0167-6687(94)00004-2
Dufresne, 1990, The distribution of a perpetuity with applications to risk theory and pension funding, Scandinavian Actuarial Journal, 9, 39, 10.1080/03461238.1990.10413872
Goovaerts, 2000, Stochastic upper bounds for present value functions, Journal of Risk and Insurance Theory, 67, 1, 10.2307/253674
Harrison, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory, 20, 381, 10.1016/0022-0531(79)90043-7
Harrison, 1981, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and their Applications, 11, 215, 10.1016/0304-4149(81)90026-0
Jacques, 1996, On the hedging portfolio of Asian options, ASTIN Bulletin, 26, 165, 10.2143/AST.26.2.563217
Kaas, 2000, Upper and lower bounds for sums of random variables, Insurance: Mathematics & Economics, 23, 151, 10.1016/S0167-6687(00)00060-3
Milevsky, 1997, The present value of a stochastic perpetuity and the Gamma distribution, Insurance: Mathematics & Economics, 20, 243, 10.1016/S0167-6687(97)00013-9
Rogers, 1995, The value of an Asian option, Journal of Applied Probability, 32, 1077, 10.2307/3215221