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q-fin.MF2025
Free Lunches with Vanishing Risks Most Likely Exist
Eckhard Platen, Kevin Fergusson
The hypothesis that there do not exist free lunches with vanishing risk (FLVRs) in the real market underpins the popular risk-neutral pricing and hedging methodology in quantitativ…
q-fin.MF2017
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
Kevin Fergusson, Eckhard Platen
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure.…