Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection

DOI10.1016/J.CNSNS.2020.105651MaRDI QIDQ2219586zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 20 January 2021

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2020.105651

zbMATH Keywords

cliquet-styleEIAPROJtime-changed Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

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Cites work

• A data-driven framework for consistent financial valuation and risk measurement
• A Fourier-based valuation method for Bermudan and barrier options under Heston's model
• A general framework for time-changed Markov processes and applications
• 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
• An efficient transform method for Asian option pricing
• Cliquet-style return guarantees in a regime switching Lévy model
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Financial Modelling with Jump Processes
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Pricing and hedging of cliquet options and locally capped contracts
• Pricing annuity guarantees under a double regime-switching model
• Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• The design of equity-indexed annuities
• Valuing Equity-Indexed Annuities

Cited in

(10)

• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
• Equity-linked guaranteed minimum death benefits with dollar cost averaging
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• The bilateral Gamma motion: calibration and option pricing
• Efficient valuation of joint life variable annuities with guaranteed minimum death benefits
• Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models

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