Bjarke Jensen

University of Aarhus

Ph.D.-studerende

Bartholins Alle, Bygning 350

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Finite Difference Approach to the Valuation of Path-Dependent Life Insurance Liabilities

Geneva Papers on Risk and Insurance Theory, Vol. 26, No. 1, 57-84, 2001
Posted: 15 Dec 2012
University of Aarhus, University of Aarhus - Business and Social Sciences and Aarhus University - Department of Finance

Abstract:

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participating life insurance policies, embedded options, contingent claim valuation, numerical solution, finite difference approach

2.

New Skin for the Old Ceremony: Eight Different Derivations of the Black-Scholes Formula

Posted: 18 Dec 1996
Jesper Andreasen, Bjarke Jensen and Rolf Poulsen
Saxo Bank, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

Abstract:

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