Valuing equity-linked annuities under high-water mark fee structure
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Publication:6547264
Recommendations
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
Cites work
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- A drawdown reflected spectrally negative Lévy process
- A jump-diffusion model for option pricing
- First passage times of a jump diffusion process
- Fitting combinations of exponentials to probability distributions
- Introductory lectures on fluctuations of Lévy processes with applications.
- On first passage times of a hyper-exponential jump diffusion process
- Pricing double-barrier options under a flexible jump diffusion model
- Pricing equity-indexed annuities with path-dependent options.
- Refracted Lévy processes
- State-dependent fees for variable annuity guarantees
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits with a threshold expense strategy
- “Stochastic Annuities,” Daniel Dufresne, January 2007
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