Dynamic Fund Protection

DOI10.1080/10920277.2001.10595996MaRDI QIDQ5718218zbMATH OpenOpenAlexFDO

Authors Junichi Imai, Phelim Boyle

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2001.10595996

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 702539 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Connecting discrete and continuous path-dependent options
• From ruin theory to pricing reset guarantees and perpetual put options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Monte Carlo methods for security pricing
• Pricing Dynamic Investment Fund Protection
• Pricing Perpetual Options for Jump Processes
• Pricing and hedging long-term options
• Reserving for maturity guarantees: Two approaches
• Valuing Equity-Indexed Annuities
• Volatility skews and extensions of the Libor market model

Cited in

(21)

• Reset and withdrawal rights in dynamic fund protection
• Pricing the equity-linked and principal-protected securities with cap and path dependence
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Pricing Discrete Dynamic Fund Protections
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Pricing dynamic fund protections with regime switching
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Optimal Design of a Perpetual Equity-Indexed Annuity
• Optimal portfolio management with American capital guarantee
• Optimal surrender strategies for equity-indexed annuity investors
• Pricing dynamic fund protections under a stochastic boundary
• Valuation of discrete dynamic fund protection under Lévy processes
• Dynamic fund protection for property markets
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Long-term optimal portfolios with floor
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing maturity guarantee with dynamic withdrawal benefit
• Pricing Dynamic Investment Fund Protection
• Pricing Lookback Options and Dynamic Guarantees
• The market pricing of the lifeboat provision in a closed-end fund
• The pricing of dynamic fund protection with default risk

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