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Pricing perpetual options with stochastic discount interest rates

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  • Xia Zhao
  • Bo Zhang

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  • Xia Zhao & Bo Zhang, 2012. "Pricing perpetual options with stochastic discount interest rates," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(1), pages 341-349, January.
    • Handle: RePEc:spr:qualqt:v:46:y:2012:i:1:p:341-349
    DOI: 10.1007/s11135-010-9358-0
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    References listed on IDEAS

    as
    1. Xia Zhao & Bo Zhang & Zechun Mao, 2007. "Optimal Dividend Payment Strategy under Stochastic Interest Force," Quality & Quantity: International Journal of Methodology, Springer, vol. 41(6), pages 927-936, December.
    2. Parker, Gary, 1994. "Limiting Distribution of the Present Value of a Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 47-60, May.
    3. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    4. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
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