Pricing dynamic fund protections with regime switching

DOI10.1016/J.CAM.2015.11.012MaRDI QIDQ896790zbMATH OpenOpenAlexFDO

Authors Zhuo Jin, Wei Wang, Linyi Qian, Rongming Wang

Publication date 14 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.11.012

zbMATH Keywords

Markov chain approximationdynamic fund protectionmartingale technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov processes: hypothesis testing (62M02)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Dynamic Fund Protection
• First passage times of a jump diffusion process
• From ruin theory to pricing reset guarantees and perpetual put options
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Pricing Lookback Options and Dynamic Guarantees
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Perpetual Options for Jump Processes
• Reset and withdrawal rights in dynamic fund protection
• The law of the supremum of a stable Lévy process with no negative jumps
• Valuation of discrete dynamic fund protection under Lévy processes
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits in jump diffusion models

Cited in

(16)

• Reset and withdrawal rights in dynamic fund protection
• Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• Randomization and the valuation of guaranteed minimum death benefits
• Assessing the costs of protection in a context of switching stochastic regimes
• Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Pricing dynamic fund protections under a stochastic boundary
• Valuation of discrete dynamic fund protection under Lévy processes
• Dynamic fund protection for property markets
• Pricing some life-contingent lookback options under regime-switching Lévy models
• Pricing dynamic fund protection under hidden Markov models
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Pricing Dynamic Investment Fund Protection
• scientific article; zbMATH DE number 7234466 (Why is no real title available?)
• scientific article; zbMATH DE number 7234612 (Why is no real title available?)

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