Back to Search
Start Over
A functional variational approach to pricing path dependent insurance policies
- Publication Year :
- 2024
-
Abstract
- The main purpose of this work is the derivation of a functional partial differential equation (FPDE) for the calculations of equity-linked insurance policies, where the payment stream may depend on the whole past history of the financial asset. To this end, we employ variational techniques from the theory of functional It\^o calculus.
- Subjects :
- Quantitative Finance - Pricing of Securities
60H30, 91G20, 91G30, 91G60, 35Q91
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2409.00780
- Document Type :
- Working Paper