Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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Publication:2104088
The paper deals with an actuarial version of the American option pricing problem. The goal is to price a contract which can be terminated at time \(\tau\), \( \tau \in (0,T]\), with a payoff \[ F_\tau + P(\tau) (G_\tau - F_\tau)^+, \] where \(P(t)\) is an increasing penalty function \[ 0 < P(t) \leq P(T)=1, \] \(G_t\) is a deterministic guaranteed minimum payoff and \(F_t\) is the account value at time \(t\). The provided model is based on the assumption that \(F_t=e^{-ct} S_t\), where \(S_t\) is a regime-switching jump diffusion process such that \(e^{-rt}S_t\) is a martingale in the pricing measure \(Q\) and that the intensity of the stopping time \(\tau\) is a diffusion process.
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Cited in
(11)- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Efficient valuation of a variable annuity contract with a surrender option
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- The bilateral Gamma motion: calibration and option pricing
- Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk
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