Between ℙ and ℚ: The ℙ<sup>ℚ</sup> Measure for Pricing in Asset Liability Management
Insurance companies issue guarantees that need to be valued according to the market expectations. By calibrating option pricing models to the available implied volatility surfaces, one deals with the so-called risk-neutral measure <inline-formula> <math display="inline"> <se...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-10-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/11/4/67 |