... 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. 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...

... 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. Angelo Corelli can be contacted at: angelocorelli@libero.it...

... with excellent market returns. Mohamed Ali Trabelsi can be contacted at: MedAli.Trabelsi@esct.rnu.tn © Emerald Group Publishing Limited 2010 Portfolio investment Tunisia Stock markets Assets valuation Pricing Stock market inefficiencies and anomalies have been noticed by several...

... and practitioners may consider altering the Fama‐French model, as suggested by the paper, when estimating the cost of capital. Sulaiman Mouselli can be contacted at: s.mouselli@bangor.ac.uk © Emerald Group Publishing Limited 2010 Pricing United Kingdom Asset valuation Cost of capital...

... output price uncertainty, only cost uncertainty, respectively. P1. The risky input x₁ is less than (equal to) (greater than) its certainty‐equivalent level if g is upward biased (unbiased) (downward biased) and b is unbiased. w...

... The paper will be of value to those interested in using/pricing/hedging Asian options. Pricing Stock options Asset valuation Risk analysis Asian options, also known as average options, are one of the most popular exotic options. Since the payoff of an Asian option depends on the average price...

...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...