Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-05T15:14:00.988Z Has data issue: false hasContentIssue false
  • English
  • Français

Pricing Derivatives under the Wilkie Model

Published online by Cambridge University Press:  10 June 2011

M.H.D. Kemp
M.H.D. Kemp
Affiliation:
Scudder Threadneedle Investments Ltd, 60 St Mary Axe, London, EC3A 8JQ, U.K. Tel: +44(0)20-7464-5000; Fax: +44(0)20-7464-5273
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper describes how to calculate approximate prices of options if investment markets are being modelled according to the Wilkie investment model.

Keywords

Option PricingAsset/Liability Modelling
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 6 , Issue 3 , 01 October 2000 , pp. 621 - 635
Copyright
Copyright © Institute and Faculty of Actuaries 2000

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Kemp, M.H.D. (1996). Asset/liability modelling for pension funds. Paper presented to the Staple Inn Actuarial Society.Google Scholar
Kemp, M.H.D. (1997). Actuaries and derivatives. B.A.J. 3, 51–162.Google Scholar
Neuberger, A.J. (1990). Option pricing: a non-stochastic approach. London Business School Institute of Finance and Accounting, IFA Working Paper 183.Google Scholar
Wilkie, A.D. (1995). More on a stochastic asset model for actuarial use. B.A.J. 1, 777–964.Google Scholar