A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders

DOI10.1007/S10203-022-00371-0zbMATH Open1492.91371OpenAlexW4281784045MaRDI QIDQ2145706FDOQ2145706

Paolo De Angelis, Roberto De Marchis, Emilio Russo, Antonio Luciano Martire

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-022-00371-0

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zbMATH Keywords

variable annuityguaranteed minimum withdrawal benefitsurrender optiondiscrete dividendsbinomial algorithmbivariate lattice

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Financial valuation of guaranteed minimum withdrawal benefits
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Title not available (Why is that?)
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• An integral equation for American put options on assets with general dividend processes
• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
• A bivariate model for evaluating equity-linked policies with surrender option
• Title not available (Why is that?)
• A lattice approach to evaluate participating policies in a stochastic interest rate framework
• Interest rate model comparisons for participating products under Solvency II
• A shifted tree model for the efficient evaluation of options with fixed dividends

Cited In (2)

• Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
• Valuation of general GMWB annuities in a low interest rate environment

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