14 citations · 30 across the 9 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
math.PR2015
In the Life Insurance Business Risky Investments are Dangerous
Yuri Kabanov, Serguei Pergamenshchikov
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an…
q-fin.MF2015★ 14 cited
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen, Serguei Pergamenshchikov
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Lel…