Pricing formulae for derivatives in insurance using Malliavin calculus
Abstract In this paper, we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process by using Malliavin calculus. Similar to the celebrated Black–Scholes formula, we aim to express the expected cash flow in terms of a building block...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2018-06-01
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Series: | Probability, Uncertainty and Quantitative Risk |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s41546-018-0028-9 |