Pricing dynamic fund protections with regime switching

DOI10.1016/J.CAM.2015.11.012zbMATH Open1329.91130OpenAlexW2200824777MaRDI QIDQ896790FDOQ896790

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

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zbMATH Keywords

Markov chain approximationdynamic fund protectionmartingale technique

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Pricing Lookback Options and Dynamic Guarantees
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• First passage times of a jump diffusion process
• The law of the supremum of a stable Lévy process with no negative jumps
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Pricing Perpetual Options for Jump Processes
• Pricing Perpetual Fund Protection with Withdrawal Option
• From ruin theory to pricing reset guarantees and perpetual put options
• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection
• Reset and withdrawal rights in dynamic fund protection
• Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
• Pricing Discrete Dynamic Fund Protections

Cited In (11)

• Reset and withdrawal rights in dynamic fund protection
• 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
• Dynamic Fund Protection for Property Markets
• 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 some life-contingent lookback options under regime-switching Lévy models
• Pricing Dynamic Investment Fund Protection
• Title not available (Why is that?)
• Title not available (Why is that?)
• Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees

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