• Compound contingent claims 

      Lindset, Snorre (Discussion paper, Working paper, 2002-12)
      This paper explores similarities and differences between a compound option and a two-period guarantee. A generalised compound contingent claim that captures these two claims as special cases is constructed. The underlying ...
    • Continuous monitoring : look before you leap 

      Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)
      We present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guaranty fund. In the case of continuous monitoring, i.e., where the market ...
    • Credit spreads and incomplete information 

      Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)
      A new model is presented which produces credit spreads that do not converge to zero for short maturities. Our set-up includes incomplete, i.e., delayed and asymmetric information. When the financial market observes the ...
    • Essays on compound contingent claims and financial guarantees 

      Lindset, Snorre (Doctoral thesis, 2002)
    • A note on a barrier exchange option : the world’s simplest option formula? 

      Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2005-08)
      The paper analyzes a barrier exchange option that is knocked out the first time the two underlying assets have identical market values. Under rather general conditions regarding the price processes for the underlying assets, ...
    • Pricing of rate of return guarantees on multi-period assets 

      Lindset, Snorre (Discussion paper, Working paper, 2001-06)
      The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative ...
    • Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies 

      Mork, Knut A.; Lindset, Snorre (Peer reviewed, 2019)
      In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the ...