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Options on normal underlyings with an application to the pricing of survivor swaptions

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  • Paul Dawson
  • Kevin Dowd
  • Andrew J. G. Cairns
  • David Blake

Abstract

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  • Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2009. "Options on normal underlyings with an application to the pricing of survivor swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(8), pages 757-774, August.
    • Handle: RePEc:wly:jfutmk:v:29:y:2009:i:8:p:757-774
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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Paul Dawson & Kevin Dowd & Andrew J. G. Cairns & David Blake, 2010. "Survivor Derivatives: A Consistent Pricing Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 579-596, September.
    3. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.
    4. Tzuling Lin & Cary Chi‐Liang Tsai, 2023. "A new option for mortality–interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 273-293, February.

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