... that the proposed jump diffusion process, for both asset price and stochastic volatility, will provide a more realistic pricing model for RCLA contracts in comparison to existing models. Design/methodology/approach Under the assumption of the deterministic withdrawals, the authors use a partial integro...

... point out key characteristics of ILWs important to investor and cedent, including transaction costs, moral hazard, basis risk, counterparty risk, industry loss index, and regulation. Next, the authors present and discuss the adequacy of actuarial and financial approaches for pricing ILWs, as well...

... A main application of this model is pricing of claims in which the credit rating of the defaultable party enters explicitly. An implementation is given in a simple one factor model in which the affine structure gives closed form solutions. The data contains 20 corporate bonds observed in American...

...A. Thavaneswaran; Jagbir Singh Purpose Option pricing based on Black‐Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random...

... the value premium varies with firm size, which is important to identify the main source of value premium. Second, it tests whether the value premium in the UK stock market will persist after adjusting for market risk using the capital asset pricing model (CAPM). Third, although this is not the main aim...

... Stock markets Assets valuation Pricing Stock market inefficiencies and anomalies have been noticed by several authors dealing with stock market profits, and have been reported in numerous empirical studies. These gave birth to a number of strategies that would allow for abnormal profit making...

... on the optimal output, hedge, or hedge ratio is determined by the market structure of one or both forward pieces. Originality/value This is the first paper that uses a general, complete, and realistic hedging model. The vast majority of the literature that dealt with hedging considered output price...

... The paper will be of value to those interested in using/pricing/hedging Asian options. This extension is valuable in light of the fact that Asian options are often written on currency exchange rates, stock market indexes, and commodity futures; and for the purpose of pricing, those options can...

...A. Thavaneswaran; J. Singh; S.S. Appadoo Purpose To study stochastic volatility in the pricing of options. Design/methodology/approach Random‐coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option‐pricing formula is viewed...

...Morton N. Lane Purpose This article aims to examine the risk inherent in the insurance of the aviation industry, to take an outsider's look at those risks and to develop certain “capital market” pricing rules. Design/methodology/approach The aviation industry presents a classic low‐frequency...