Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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Publication:2104088
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Cites work
- scientific article; zbMATH DE number 3837095 (Why is no real title available?)
- scientific article; zbMATH DE number 1972910 (Why is no real title available?)
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- Optimal surrender policy for variable annuity guarantees
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
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- Option pricing when underlying stock returns are discontinuous
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- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing annuity guarantees under a regime-switching model
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- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
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- Pricing some life-contingent lookback options under regime-switching Lévy models
- Semi-static hedging of variable annuities
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- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Valuing equity-linked death benefits in a regime-switching framework
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cited in
(10)- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- 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
- 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
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
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