Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality

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Cites work

scientific article; zbMATH DE number 5980856 (Why is no real title available?)
scientific article; zbMATH DE number 52588 (Why is no real title available?)
A Fourier transform method for spread option pricing
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
AMERICAN OPTIONS WITH REGIME SWITCHING
Affine processes for dynamic mortality and actuarial valuations
An explicit solution to an optimal stopping problem with regime switching
An optimal stochastic control framework for determining the cost of hedging of variable annuities
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
Consistent dynamic affine mortality models for longevity risk applications
Financial valuation of guaranteed minimum withdrawal benefits
Fourier space time-stepping for option pricing with Lévy models
Guaranteed minimum withdrawal benefit in variable annuities
Hedging guarantees in variable annuities under both equity and interest rate risks
On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
Option pricing and Esscher transform under regime switching
Option pricing in a regime-switching model using the fast Fourier transform
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Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
State-dependent fees for variable annuity guarantees
The effect of modelling parameters on the value of GMWB guarantees
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
Valuing variable annuity guarantees on multiple assets

Cited in

(13)

Equity-linked guaranteed minimum death benefits with dollar cost averaging
A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
Longevity risk and capital markets: the 2019--20 update
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Option pricing under regime-switching models: novel approaches removing path-dependence
An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
Variable annuities: market incompleteness and policyholder behavior
Valuation of general GMWB annuities in a low interest rate environment

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