Pricing dynamic fund protections with regime switching

DOI10.1016/J.CAM.2015.11.012zbMath1329.91130OpenAlexW2200824777MaRDI QIDQ896790

Wei Wang, Zhuo Jin, Rong-Ming Wang, Lin-Yi Qian

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)

Related Items (7)

Dynamic Fund Protection for Property Markets ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS ⋮ 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

Cites Work

• Unnamed Item
• Reset and withdrawal rights in dynamic fund protection
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• The law of the supremum of a stable Lévy process with no negative jumps
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• From ruin theory to pricing reset guarantees and perpetual put options
• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
• First passage times of a jump diffusion process
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
• Valuation of Discrete Dynamic Fund Protection Under Lévy Processes
• Pricing Lookback Options and Dynamic Guarantees
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection
• Pricing Perpetual Options for Jump Processes

This page was built for publication: Pricing dynamic fund protections with regime switching