Pricing Discrete Dynamic Fund Protections

Hon-Kwok Fung and Leong Kwan Li

North American Actuarial Journal, 2003, vol. 7, issue 4, 23-31

Abstract: The authors investigate the pricing of discretely monitored dynamic fund protections when the fund price follows a lognormal process or a constant elasticity of variance (CEV) process. A backward recursive pricing formula is derived. By employing a numerical technique that combines function approximation and numerical quadrature, the authors demonstrate how to complete each recursion level efficiently. Numerical experiments show that the results compare favorably with those obtained by other pricing methods.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2003.10596115 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:7:y:2003:i:4:p:23-31

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2003.10596115

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().