Pricing Lookback Options and Dynamic Guarantees
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Recommendations
- Pricing of lookback options under stochastic interest rates
- Pricing equity-indexed annuities with path-dependent options.
- Valuing Equity-Indexed Annuities
- Lookback option prices under a spectrally negative tempered-stable model
- Pricing lookback options on the stocks driven by exponential Ornstein-Uhlenbeck process
Cites work
- Actuarial bridges to dynamic hedging and option pricing
- Arbitrage Theory in Continuous Time
- Double barrier hitting time distributions with applications to exotic options
- Dynamic Fund Protection
- Hedging lookback and partial lookback options using Malliavin calculus
- scientific article; zbMATH DE number 1238161 (Why is no real title available?)
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 194933 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Pricing Dynamic Investment Fund Protection
- Pricing Perpetual Fund Protection with Withdrawal Option
- The pricing of options and corporate liabilities
- Valuing Equity-Indexed Annuities
- “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000
Cited in
(26)- The price of a lookback option as the solution of a boundary-value problem for the heat equation
- Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
- Pricing of equity indexed annuity under fractional Brownian motion model
- Application of data clustering and machine learning in variable annuity valuation
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Valuation of cliquet-style guarantees with death benefits
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Dynamic fund protection for property markets
- Pricing and hedging equity-indexed annuities via local risk-minimization
- Approximations for time-dependent distributions in Markovian fluid models
- Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
- Pricing Discrete Dynamic Fund Protections
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- The pricing of dynamic fund protection with default risk
- Robust pricing of equity-indexed annuities under uncertain volatility and stochastic interest rate
- Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
- Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
- Lookback option pricing for regime-switching jump diffusion models
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- Pricing dynamic fund protections with regime switching
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