Pricing and hedging equity-indexed annuities via local risk-minimization

DOI10.1080/03610926.2018.1433848MaRDI QIDQ5078428zbMATH OpenOpenAlexFDO

Authors Wei Wang, Ning Wang, Shuai Wang, Linyi Qian

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1433848

zbMATH Keywords

regime-switchinglocally risk-minimizing strategyjump diffusion processminimal martingale measureequity-indexed annuity

Mathematics Subject Classification ID

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

Cites work

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Cited in

(5)

• Pricing variable annuity guarantees in a local volatility framework
• Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
• Valuation of equity-indexed annuities under correlated jump-diffusion processes
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

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