Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
From MaRDI portal
Publication:4554481
DOI10.1080/14697688.2017.1357832zbMath1400.91648OpenAlexW2606799906MaRDI QIDQ4554481
Jonathan Ziveyi, Oliver Wood, Jennifer Alonso-García
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1357832
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)
Related Items
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Fourier based methods for the management of complex life insurance products ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Stochastic optimal switching model for migrating population dynamics ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Pricing variable annuity with surrender guarantee ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk ⋮ Variable annuity pricing, valuation, and risk management: a survey
Cites Work
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- Semi-static hedging of variable annuities
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- The effect of modelling parameters on the value of GMWB guarantees
- Fourier-cosine method for Gerber-Shiu functions
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Financial valuation of guaranteed minimum withdrawal benefits
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Fourier-cosine method for ruin probabilities
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Hedging insurance books
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- On the Fourier cosine series expansion method for stochastic control problems
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- The value of an Asian option
- Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
- Semi-Static Hedging for GMWB in Variable Annuities
- The Existence of Optimal Bang-Bang Controls for GMxB Contracts
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing Interest-Rate-Derivative Securities
- Economic Capital Allocation Derived from Risk Measures