Valuation of segregated funds: shout options with maturity extensions.

DOI10.1016/S0167-6687(01)00072-5zbMath1055.91036OpenAlexW2088762864MaRDI QIDQ1413278

H. Windcliff, Kenneth Vetzal, Peter A. I. Forsyth

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00072-5

zbMATH Keywords

Option pricingLinear complementarityMaturity guarantees

Mathematics Subject Classification ID

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• Pricing and hedging long-term options
• A synthesis of risk measures for capital adequacy
• Pricing of Unit-linked Life Insurance Policies
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Shout options: A framework for pricing contracts which can be modified by the investor

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