Centre of Mathematics for Applications, University of Oslo, Oslo, Norway
Centre of Mathematics for Applications, University of Oslo, Oslo, Norway
Centre of Mathematics for Applications, University of Oslo, Oslo, Norway
Copyright © 2014 Erik Bølviken, Frank Proske, Mark Rubtsov et al. This is
an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any
medium, provided the original work is properly cited.
How to Cite this Article
E. Bølviken, F. Proske and M. Rubtsov, "Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance,"
Journal of Mathematical Finance, Vol. 4 No. 2, 2014, pp. 113-122. doi:
10.4236/jmf.2014.42011.