Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
From MaRDI portal
Publication:2397852
DOI10.1016/J.INSMATHECO.2017.02.010zbMATH Open1394.91206OpenAlexW2593375606MaRDI QIDQ2397852FDOQ2397852
Authors: Yanyan Li 
Publication date: 24 May 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.010
Recommendations
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Pricing annuity guarantees under a regime-switching model
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
regime-switchingjump diffusionstochastic volatilitylife insurancecliquet-style guaranteeequity-linked annuity
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A jump-diffusion model for option pricing
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An efficient transform method for Asian option pricing
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A novel pricing method for European options based on Fourier-cosine series expansions
- Title not available (Why is that?)
- Stock price distributions with stochastic volatility: an analytic approach
- Option pricing when underlying stock returns are discontinuous
- Pricing exotic options under regime switching
- The \(\alpha\)-hypergeometric stochastic volatility model
- An introduction to frames and Riesz bases
- Hedging guarantees in variable annuities under both equity and interest rate risks
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Option pricing and Esscher transform under regime switching
- Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
- The design of equity-indexed annuities
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- On pricing barrier options with regime switching
- Valuing Equity-Indexed Annuities
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- Pricing annuity guarantees under a double regime-switching model
- Continuously monitored barrier options under Markov processes
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing and hedging of cliquet options and locally capped contracts
- Cliquet-style return guarantees in a regime switching Lévy model
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
Cited In (48)
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Cliquet-style return guarantees in a regime switching Lévy model
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Randomization and the valuation of guaranteed minimum death benefits
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- European option pricing with market frictions, regime switches and model uncertainty
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Efficient pricing of European options on two underlying assets by frame duality
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- A general valuation framework for SABR and stochastic local volatility models
- Computing the Gerber-Shiu function by frame duality projection
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- A data-driven framework for consistent financial valuation and risk measurement
- Cliquet option pricing in a jump-diffusion Lévy model
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Impact of volatility clustering on equity indexed annuities
- Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- A Markov chain approximation scheme for option pricing under skew diffusions
- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- The bilateral Gamma motion: calibration and option pricing
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Short maturity conditional Asian options in local volatility models
- Valuation of cliquet-style guarantees with death benefits
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- A generalized Esscher transform for option valuation with regime switching risk
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
- Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- A general framework for time-changed Markov processes and applications
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
This page was built for publication: Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397852)
