Pricing some life-contingent lookback options under regime-switching Lévy models
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Publication:2075983
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Cites work
- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A general valuation framework for SABR and stochastic local volatility models
- A novel pricing method for European options based on Fourier-cosine series expansions
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Applied Probability and Queues
- Approximating the density of the time to ruin via Fourier-cosine series expansion
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Continuous-time Markov chain and regime switching approximations with applications to options pricing
- COS method for option pricing under a regime-switching model with time-changed Lévy processes
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- Finite-time dividend problems in a Lévy risk model under periodic observation
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Lookback option pricing for regime-switching jump diffusion models
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Pricing annuity guarantees under a double regime-switching model
- Pricing dynamic fund protections with regime switching
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits in jump diffusion models
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Cited in
(9)- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Valuing equity-linked death benefits in a regime-switching framework
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Randomization and the valuation of guaranteed minimum death benefits
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
- The bilateral Gamma motion: calibration and option pricing
- Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models
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