Pricing Discrete Dynamic Fund Protections

DOI10.1080/10920277.2003.10596115MaRDI QIDQ5715934zbMATH OpenOpenAlexFDO

Authors Hon-Kwok Fung, Leong Kwan Li

Publication date 5 January 2006

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

Full work available at URL https://doi.org/10.1080/10920277.2003.10596115

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A dynamic programming procedure for pricing American-style Asian options
• Algorithm 659
• Connecting discrete and continuous path-dependent options
• Dynamic Fund Protection
• From ruin theory to pricing reset guarantees and perpetual put options
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Pricing Dynamic Investment Fund Protection
• Pricing Lookback Options and Dynamic Guarantees
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Perpetual Options for Jump Processes
• Valuing Equity-Indexed Annuities

Cited in

(8)

• Optimal surrender strategies for equity-indexed annuity investors
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Valuation of discrete dynamic fund protection under Lévy processes
• Optimal Design of a Perpetual Equity-Indexed Annuity
• Reset and withdrawal rights in dynamic fund protection
• Pricing dynamic fund protections with regime switching

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