First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
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Publication:2673386
Recommendations
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Approximation with generalized hyperexponential distributions: Weak convergence results
- Exit problems for jump processes with applications to dividend problems
- First passage times of a jump diffusion process
- Fitting combinations of exponentials to probability distributions
- Maximizing Dividends without Bankruptcy
- Occupation times of refracted double exponential jump diffusion processes
- Occupation times of refracted Lévy processes
- On first passage times of a hyper-exponential jump diffusion process
- On weighted occupation times for refracted spectrally negative Lévy processes
- Pricing double-barrier options under a flexible jump diffusion model
- Refracted Lévy processes
- Russian and American put options under exponential phase-type Lévy models.
- State-dependent fees for variable annuity guarantees
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- The Fourier-series method for inverting transforms of probability distributions
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Useful martingales for stochastic storage processes with Lévy input
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
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