Pricing Lookback Options and Dynamic Guarantees

DOI10.1080/10920277.2003.10596076zbMath1084.91507OpenAlexW1607406321MaRDI QIDQ5715904

Hans U. Gerber, Elias S. W. Shiu

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596076

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (23)

Dynamic Fund Protection for Property Markets ⋮ Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Lookback option pricing for regime-switching jump diffusion models ⋮ How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? ⋮ Pricing dynamic fund protections with regime switching ⋮ Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ The pricing of dynamic fund protection with default risk ⋮ Pricing Discrete Dynamic Fund Protections ⋮ Approximations for time-dependent distributions in Markovian fluid models ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ The price of a lookback option as the solution of a boundary-value problem for the heat equation ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Double barrier hitting time distributions with applications to exotic options
• Actuarial bridges to dynamic hedging and option pricing
• Hedging lookback and partial lookback options using Malliavin calculus
• Arbitrage Theory in Continuous Time
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Dynamic Investment Fund Protection
• Valuing Equity-Indexed Annuities
• “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000
• Dynamic Fund Protection

This page was built for publication: Pricing Lookback Options and Dynamic Guarantees