Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
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Publication:3088977
DOI10.1080/10920277.2010.10597588zbMATH Open1219.91145OpenAlexW2008889292MaRDI QIDQ3088977FDOQ3088977
Authors: Fei Lung Yuen, Hailiang Yang 
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2010.10597588
Recommendations
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Financial valuation of guaranteed minimum withdrawal benefits
- Pricing exotic options under regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Multinomial Approximating Models for Options with k State Variables
- An explicit finite difference approach to the pricing of barrier options
- Option pricing: A simplified approach
- Option pricing and Esscher transform under regime switching
- Fair valuation of participating policies with surrender options and regime switching
- A Regime-Switching Model of Long-Term Stock Returns
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Valuation of guaranteed annuity conversion options.
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Lean trees -- a general approach for improving performance of lattice models for option pricing
- Pricing equity-indexed annuities with path-dependent options.
- Valuing Equity-Indexed Annuities
- Explicit solutions to European options in a regime-switching economy
- A simple approach for pricing equity options with Markov switching state variables
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Guaranteed Annuity Options
Cited In (21)
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Optimal surrender strategies for equity-indexed annuity investors with partial information
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- An exact formula for pricing American exchange options with regime switching
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- A spectral element method for option pricing under regime-switching with jumps
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Moving mesh methods for pricing Asian options with regime switching
- A hidden Markov regime-switching model for option valuation
- Valuation of swing options under a regime-switching mean-reverting model
- Hedging costs for variable annuities under regime-switching
- Pricing annuity guarantees under a double regime-switching model
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