Pricing of equity indexed annuity under fractional Brownian motion model
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Publication:1723974
DOI10.1155/2014/380718zbMATH Open1471.91489OpenAlexW2046171817WikidataQ59036961 ScholiaQ59036961MaRDI QIDQ1723974FDOQ1723974
Authors: Lin Xu, Guangjun Shen, Dingjun Yao 
Publication date: 14 February 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/380718
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Cites Work
- Long-Term Memory in Stock Market Prices
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Pricing Lookback Options and Dynamic Guarantees
- Affine processes for dynamic mortality and actuarial valuations
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- Stock market prices and long-range dependence
- Title not available (Why is that?)
- Nonparametric Pricing of Interest Rate Derivative Securities
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- Stochastic Calculus for Fractional Brownian Motion I. Theory
- The design of equity-indexed annuities
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- Valuation of contingent claims with mortality and interest rate risks
- Pricing equity-indexed annuities with path-dependent options.
- Valuing Equity-Indexed Annuities
- Optimal surrender strategies for equity-indexed annuity investors
- No arbitrage without semimartingales
- Stochastic mortality under measure changes
- Mortality modelling with Lévy processes
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- An asymptotic expansion for one-sided Brownian exit densities
Cited In (4)
- Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion
- Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
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