5 citations · 6 across the 3 of their papers we have counts for
3 papers
math.PR2016★ 5 cited
Optimal variance stopping with linear diffusions
Kamille Sofie Tågholt Gad, Pekka Matomäki
We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player ze…
q-fin.MF2014★ 1 cited
Reserve-Dependent Surrender
Kamille Sofie Tågholt Gad, Jeppe Juhl, Mogens Steffensen
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrar…
q-fin.MF2014
Rationality parameter for exercising American put
K. Gad, J. L. Pedersen
The main result of this paper is a probabilistic proof of the penalty method for approximating the price of an American put in the Black-Scholes market. The method gives a parametr…