AN ANALYTICAL INVERSION OF A LAPLACE TRANSFORM RELATED TO ANNUITIES CERTAIN

被引：20

作者：

DESCHEPPER, A

TEUNEN, M

GOOVAERTS, M

机构：

[1] KATHOLIEKE UNIV LEUVEN,LOUVAIN,BELGIUM

[2] UNIV AMSTERDAM,AMSTERDAM,NETHERLANDS

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 14卷 / 01期

关键词：

LAPLACE INVERSION; BESSEL FUNCTION; ANNUITY CERTAIN;

D O I：

10.1016/0167-6687(94)00004-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The present contribution deals with the Laplace inversion of a modified Bessel function with respect to the index in a straightforward analytical way. This kind of modified Bessel functions appears when annuities certain with a stochastic interest rate are considered, and also when evaluating the value of Asian options.

引用

页码：33 / 37

页数：5

共 8 条

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