Pricing Perpetual Fund Protection with Withdrawal Option

DOI10.1080/10920277.2003.10596087zbMath1084.60512OpenAlexW2414735441MaRDI QIDQ5715912

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/10.1080/10920277.2003.10596087

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (22)

Dynamic Fund Protection for Property Markets ⋮ Reset and withdrawal rights in dynamic fund protection ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? ⋮ Equity-linked life insurance based on traditional products: the case of select products ⋮ Pricing dynamic fund protections with regime switching ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ Modeling of financial processes with a space-time fractional diffusion equation of varying order ⋮ The pricing of dynamic fund protection with default risk ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends ⋮ Pricing Discrete Dynamic Fund Protections ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Long-term optimal portfolios with floor ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ Series representation of the pricing formula for the European option driven by space-time fractional diffusion ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure ⋮ Optimal stopping behavior of equity-linked investment products with regime switching

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The Russian option: Reduced regret
• Arbitrage pricing of Russian options and perpetual lookback options
• Actuarial bridges to dynamic hedging and option pricing
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Pricing Dynamic Investment Fund Protection
• Valuing Equity-Indexed Annuities
• Dynamic Fund Protection

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