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Outputs (3)

Arbitrage problems with reflected geometric Brownian motion (2023)
Journal Article
Buckner, D., Dowd, K., & Hulley, H. (2024). Arbitrage problems with reflected geometric Brownian motion. Finance and Stochastics, 28(1), 1-26. https://doi.org/10.1007/s00780-023-00525-x

Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition... Read More about Arbitrage problems with reflected geometric Brownian motion.

A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages (2023)
Journal Article
Buckner, D., Dowd, K., & Hulley, H. (2023). A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages. Journal of Demographic Economics, 89(3), 349-372. https://doi.org/10.1017/dem.2023.6

This paper provides a new market consistent approach to the valuation of No Negative Equity Guarantees and Equity Release Mortgages. The paper provides a new approach to the estimation of the volatility inputs. The proposed approach to volatility pro... Read More about A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages.