Title:

Pricing Range Notes within Wishart Affine Models

Authors:

Carl Chiarella (University of Technology, Sydney)
José da Fonseca (Auckland U Technology)
Martino Grasselli (Pole U Leonardo da Vinci, U Padova)

Journal:

Insurance: Mathematics and Economics

Year:

2014

Volume:

58

Pages:

193-203

JEL codes:

G13 - Contingent Pricing; Futures Pricing
G22 - Insurance; Insurance Companies

DOI:

10.1016/j.insmatheco.2014.07.008