Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

DOI10.1080/10920277.2010.10597588zbMath1219.91145OpenAlexW2008889292MaRDI QIDQ3088977

Hailiang Yang, Fei Lung Yuen

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

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (21)

Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Hedging Costs for Variable Annuities Under Regime-Switching ⋮ 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 ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Moving mesh methods for pricing Asian options with regime switching ⋮ Optimal surrender strategies for equity-indexed annuity investors with partial information ⋮ A lattice method for option pricing with two underlying assets in the regime-switching model ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ A hidden Markov regime-switching model for option valuation ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ 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 ⋮ Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ Convergence rates of trinomial tree methods for option pricing under regime-switching models ⋮ Pricing annuity guarantees under a double regime-switching model

Cites Work

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