scholarly journals The Distribution of the Average of Log-Normal Variables and Exact Pricing of the Arithmetic Asian Options: A Simple, Closed-Form Formula

2019 ◽  
Author(s):  
Moawia Alghalith
Keyword(s):  
Closed Form ◽  
Asian Options ◽  
Log Normal ◽  
Closed Form Formula

Commodity Asian Options: A Closed-Form Formula

2007 ◽  
Author(s):  
Gianluca Fusai ◽  
Marina Marena ◽  
Andrea Roncoroni
Keyword(s):  
Closed Form ◽  
Asian Options ◽  
Closed Form Formula

scholarly journals ON THE REPRESENTATION OF THE NESTED LOGIT MODEL

2021 ◽  
pp. 1-11
Author(s):  
Alfred Galichon
Keyword(s):  
Closed Form ◽  
Logit Model ◽  
Random Variables ◽  
Nested Logit ◽  
Random Utility ◽  
Nested Logit Model ◽  
Utility Representation ◽  
Phd Thesis ◽  
Closed Form Formula

In this paper, we give a two-line proof of a long-standing conjecture of Ben-Akiva in his 1973 PhD thesis regarding the random utility representation of the nested logit model, thus providing a renewed and straightforward textbook treatment of that model. As an application, we provide a closed-form formula for the correlation between two Fréchet random variables coupled by a Gumbel copula.

scholarly journals Dependence modelling in multivariate claims run-off triangles

2012 ◽  
Vol 7 (1) ◽  
pp. 3-25 ◽  
Author(s):  
Michael Merz ◽  
Mario V. Wüthrich ◽  
Enkelejd Hashorva
Keyword(s):  
Closed Form ◽  
Central Issue ◽  
Normal Model ◽  
Closed Form Solutions ◽  
Prediction Uncertainty ◽  
Run Off ◽  
Classical Models ◽  
Dependence Modelling ◽  
Log Normal ◽  
Dependence Structures

AbstractA central issue in claims reserving is the modelling of appropriate dependence structures. Most classical models cannot cope with this task. We define a multivariate log-normal model that allows to model both, dependence between different sub-portfolios and dependence within sub-portfolios such as claims inflation. In this model we derive closed form solutions for claims reserves and the corresponding prediction uncertainty.

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