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

DOI10.1080/03610926.2018.1433848OpenAlexW2793425533MaRDI QIDQ5078428FDOQ5078428

Linyi Qian, Shuai Wang, Ning Wang, Wei Wang

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)

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Cited In (4)

• Pricing variable annuity guarantees in a local volatility framework
• 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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