Pricing Perpetual Fund Protection with Withdrawal Option

DOI10.1080/10920277.2003.10596087MaRDI QIDQ5715912zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. S. W. Shiu

Publication date 5 January 2006

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

Full work available at URL https://doi.org/10.1080/10920277.2003.10596087

Mathematics Subject Classification ID

Sample path properties (60G17) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Actuarial bridges to dynamic hedging and option pricing
• Arbitrage pricing of Russian options and perpetual lookback options
• Dynamic Fund Protection
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Pricing Dynamic Investment Fund Protection
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• The pricing of options and corporate liabilities
• The Russian option: Reduced regret
• Valuing Equity-Indexed Annuities

Cited in

(25)

• Optimal surrender strategies for equity-indexed annuity investors
• Equity-linked life insurance based on traditional products: the case of select products
• Long-term optimal portfolios with floor
• 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
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Option on a unit-type closed-end investment fund
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Modeling of financial processes with a space-time fractional diffusion equation of varying order
• Dynamic fund protection for property markets
• Pricing Lookback Options and Dynamic Guarantees
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Pricing Discrete Dynamic Fund Protections
• Optimal Design of a Perpetual Equity-Indexed Annuity
• Pricing Dynamic Investment Fund Protection
• Short Communication: A Primer on Perpetuals
• Pricing maturity guarantee with dynamic withdrawal benefit
• The pricing of dynamic fund protection with default risk
• Optimal stopping behavior of equity-linked investment products with regime switching
• Reset and withdrawal rights in dynamic fund protection
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Pricing dynamic fund protections with regime switching

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