英文标题：
《Multi-state models for evaluating conversion options in life insurance》
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作者：
Guglielmo D\'Amico, Montserrat Guillen, Raimondo Manca, Filippo Petroni
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最新提交年份：
2017
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英文摘要：
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the ageing effect. The value of the conversion option is evaluated after the formal description of this contract.
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中文摘要：
在本文中，我们提出了一个用于评估转换期权合同的多状态模型。多状态模型基于年龄指数半马尔可夫链，该链能够再现影响期权估值的许多重要方面，如持续时间问题、时间非同质性和老化效应。转换期权的价值在本合同的正式描述之后进行评估。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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