Minimum return guarantees with fund switching rights -- an optimal stopping problem

DOI10.1016/J.JEDC.2011.06.003zbMATH Open1282.60045OpenAlexW2164906541MaRDI QIDQ658637FDOQ658637

Authors: Antje Mahayni, John Schoenmakers 

Publication date: 13 January 2012

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.003

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Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• Financial Modelling with Jump Processes
• Options on a traded account: Vacation calls, vacation puts and passport options
• Reserving for maturity guarantees: Two approaches
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Martingales and arbitrage in multiperiod securities markets
• A stochastic calculus model of continuous trading: Complete markets
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Optimal investment with minimum performance constraints
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Title not available (Why is that?)
• Estimating the intensity of choice in a dynamic mutual fund allocation decision
• Optimal portfolio management with American capital guarantee
• Optimal portfolio policies with borrowing and shortsale constraints
• Equity-linked pension schemes with guarantees
• Evaluation of American strangles
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• PASSPORT OPTIONS
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Local time, coupling and the passport option
• Title not available (Why is that?)

Cited In (6)

• Cross-hedging minimum return guarantees: basis and liquidity risks
• Designing minimum guaranteed return funds
• Minimum Rate of Return Guarantees: The Danish Case
• The reset decision for segregated fund maturity guarantees
• Minimum return guarantees, investment caps, and investment flexibility
• Approaches to multistage one-shot decision making

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