Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
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Publication:6144094
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Cites work
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- A fourth order numerical method based on B-spline functions for pricing Asian options
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A novel pricing method for European options based on Fourier-cosine series expansions
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model
- Asian-barrier option pricing formulas of uncertain financial market
- Bounds for the price of a European-style Asian option in a binary tree model
- Cliquet-style return guarantees in a regime switching Lévy model
- Critical value-based Asian option pricing model for uncertain financial markets
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
- Efficient pricing of discrete Asian options
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Efficiently pricing barrier options in a Markov-switching framework
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- General lattice methods for arithmetic Asian options
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- scientific article; zbMATH DE number 3624682 (Why is no real title available?)
- Moving mesh methods for pricing Asian options with regime switching
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- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
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- Pricing Asian options in a stochastic volatility model with jumps
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Pricing geometric Asian power options in the sub-fractional Brownian motion environment
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
- Pricing of the geometric Asian options under a multifactor stochastic volatility model
- Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
- Randomization and the valuation of guaranteed minimum death benefits
- The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
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