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Stochastic Analysis and Applications Volume 24, 2006 - Issue 1
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Original Articles

A Model with Interacting Assets Driven by Poisson Processes

S. Albeverio Institut für Angewandte Mathematik, Universität Bonn, Bonn, Germany
,
M. Schmitz Tillinghast Tower Perrin, Köln, Germany
,
V. Steblovskaya Department of Mathematical Science, Bentley College, Waltham, Massachusetts, USA
&
K. Wallbaum Allianz Lebensversicherungs AG, Stuttgart, GermanyCorrespondence[email protected]
Pages 241-261 | Received 29 Jun 2005, Accepted 30 Jun 2005, Published online: 15 Feb 2007

Citations (5)

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Read on this site (1)

S. Albeverio, V. Steblovskaya & K. Wallbaum. (2009) Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets. Stochastic Analysis and Applications 27:5, pages 1077-1095.
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Articles from other publishers (4)

Francesco Cordoni & Luca Di Persio. 2021. Geometry and Invariance in Stochastic Dynamics. Geometry and Invariance in Stochastic Dynamics 47 57 .
Sergio Albeverio, Francesco Cordoni, Luca Di Persio & Gregorio Pellegrini. (2019) Asymptotic expansion for some local volatility models arising in finance. Decisions in Economics and Finance 42:2, pages 527-573.
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Sergio Albeverio, Victoria Steblovskaya & Kai Wallbaum. (2017) The volatility target effect in structured investment products with capital protection. Review of Derivatives Research 21:2, pages 201-229.
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M. Montero. (2008) Renewal equations for option pricing. The European Physical Journal B 65:2, pages 295-306.
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