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Pricing Derivatives under the Wilkie Model

Published online by Cambridge University Press:  10 June 2011

M.H.D. Kemp
M.H.D. Kemp
Affiliation:
Scudder Threadneedle Investments Ltd, 60 St Mary Axe, London, EC3A 8JQ, U.K. Tel: +44(0)20-7464-5000; Fax: +44(0)20-7464-5273
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Abstract

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This paper describes how to calculate approximate prices of options if investment markets are being modelled according to the Wilkie investment model.

Keywords

Option PricingAsset/Liability Modelling

Information

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 6 , Issue 3 , 01 October 2000, pp. 621 - 635
Copyright
Copyright © Institute and Faculty of Actuaries 2000

References

Kemp, M.H.D. (1996). Asset/liability modelling for pension funds. Paper presented to the Staple Inn Actuarial Society.Google Scholar
Kemp, M.H.D. (1997). Actuaries and derivatives. B.A.J. 3, 51–162.Google Scholar
Neuberger, A.J. (1990). Option pricing: a non-stochastic approach. London Business School Institute of Finance and Accounting, IFA Working Paper 183.Google Scholar
Wilkie, A.D. (1995). More on a stochastic asset model for actuarial use. B.A.J. 1, 777–964.Google Scholar