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Your search keyword '"Anna Glazyrina"' showing total 4 results
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4 results on '"Anna Glazyrina"'

1. Quantile hedging in a defaultable market with life insurance applications

Author

Anna Glazyrina and Alexander Melnikov

Subjects
Statistics and Probability, Economics and Econometrics, 050208 finance, Actuarial science, 05 social sciences, Equity (finance), 01 natural sciences, 010104 statistics & probability, Valuation of options, Life insurance, 0502 economics and business, Economics, Dividend, Call option, 0101 mathematics, Statistics, Probability and Uncertainty, Quantile
Abstract

The paper is devoted to quantile hedging in a market with defaultable securities. Both perfect and quantile hedging strategies are given for a European call option on a vulnerable equity. Applicati...

Published
2020

2. Quantile hedging in models with dividends and application to equity-linked life insurance contracts

Author

Alexander Melnikov and Anna Glazyrina

Subjects
Statistics and Probability, 050208 finance, Actuarial science, Mathematical finance, 05 social sciences, Equity (finance), 01 natural sciences, 010104 statistics & probability, Insurance policy, Life insurance, 0502 economics and business, Economics, Dividend, Call option, 0101 mathematics, Statistics, Probability and Uncertainty, Finance, Budget constraint, Valuation (finance)
Abstract

The paper demonstrates the effect of the dividends on pricing and hedging the European contingent claims under a budget constraint and presents insurance applications. Explicit formulae for the quantile pricing and hedging of the European call option are derived assuming the jump-diffusion model of the financial market. These results are used to determine the premium of the pure endowment with fixed guarantee equity-linked life insurance contract as well as the survival probability of the insured. A numerical example is given to illustrate the role of dividends in valuation and risk management of such insurance contracts.

Published
2019

3. Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time

Author

Anna Glazyrina and Alexander Melnikov

Subjects
Statistics and Probability, Economics and Econometrics, 050208 finance, Actuarial science, Financial economics, 05 social sciences, Measure (physics), Equity (finance), 01 natural sciences, 010104 statistics & probability, Quadratic equation, Discrete time and continuous time, Life insurance, 0502 economics and business, Economics, 0101 mathematics, Statistics, Probability and Uncertainty, Finance
Published
2017

4. Bernstein’s inequalities and their extensions for getting the Black–Scholes option pricing formula

Author

Alexander Melnikov and Anna Glazyrina

Subjects
040101 forestry, Statistics and Probability, Inequality, media_common.quotation_subject, 04 agricultural and veterinary sciences, Black–Scholes model, 01 natural sciences, Binomial distribution, 010104 statistics & probability, Rate of convergence, Valuation of options, 0401 agriculture, forestry, and fisheries, Finite difference methods for option pricing, Binomial options pricing model, 0101 mathematics, Statistics, Probability and Uncertainty, Black–Scholes equation, Mathematical economics, Mathematics, media_common
Abstract

In this paper we show how the results of Bernstein (1943) and recent results of Zubkov and Serov (2012) on the normal approximation to the binomial distribution lead to an alternative derivation of the Black–Scholes formula from a binomial option pricing model.

Published
2016

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