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Option pricing

Option pricing

Arbitrage Problems with Reflected Geometric Brownian Motion.” (D. Buckner, K. Dowd and H. Hulley) Finance and StochasticsFinance and Stochastics (2023) 28:1–26.

A Market Consistent Approach to the Valuation of No-Negative Equity Guarantees and Equity Release Mortgages.” (D. Buckner, K. Dowd and H. Hulley) Journal of Demographic Economics 89: 349-372. https://doi.org/10.1017/dem.2023.6.

Discounting the Discounted Projection Approach.” (D. Buckner and K. Dowd) North American Actuarial Journal DOI: 10.1080/109.20277.2021.1916537 (11 June 2021).

Option Pricing in the Presence of a Reflecting Barrier.” (Dean Buckner and Kevin Dowd) Eumaeus Discussion Paper 2105 (17 May 2021).

Why Black’ 76?” The Eumaeus Project (27 August 2018).

See also under Equity Release