Valuing equity-indexed annuities with icicled barrier options

DOI10.1016/j.jkss.2018.04.001zbMath1410.91457OpenAlexW2800176514MaRDI QIDQ1657865

Bangwon Ko, Hangsuck Lee

Publication date: 14 August 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.04.001

zbMATH Keywords

reflection principleEsscher transformautocallable productEIAicicled barrier option

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Pricing two-asset alternating barrier options with icicles and their variations ⋮ Outside barrier lookback options with floating strike ⋮ OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE

Cites Work

• Unnamed Item
• Valuing variable annuity guarantees with the multivariate Esscher transform
• Pricing equity-indexed annuities with path-dependent options.
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing Equity-Indexed Annuities
• “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000

This page was built for publication: Valuing equity-indexed annuities with icicled barrier options