54 citations · 70 across the 7 of their papers we have counts for
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q-fin.PR2020★ 14 cited
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
Karim Barigou, Lukasz Delong
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate,…
q-fin.PR2013
Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to equity-linked claims
Łukasz Delong, Antoon Pelsser
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asse…
q-fin.PR2008★ 54 cited
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Łukasz Delong, Claudia Klüppelberg
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a…