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

DOI10.1080/10920277.2010.10597588zbMath1219.91145MaRDI 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

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Optimal surrender strategies for equity-indexed annuity investors with partial information, Mortality modelling with regime-switching for the valuation of a guaranteed annuity option, A hidden Markov regime-switching model for option valuation, Moving mesh methods for pricing Asian options with regime switching, Convergence rates of trinomial tree methods for option pricing under regime-switching models, Pricing annuity guarantees under a double regime-switching model, Laplace transform methods for a free boundary problem of time-fractional partial differential equation system, A lattice method for option pricing with two underlying assets in the regime-switching model, Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model

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