Pricing participating products under a generalized jump-diffusion model
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- A general version of the fundamental theorem of asset pricing
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- Approximation pricing and the variance-optimal martingale measure
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- Computations of Greeks in a market with jumps via the Malliavin calculus
- Estimating Security Price Derivatives Using Simulation
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of participating policies with surrender options and regime switching
- Malliavin Greeks without Malliavin calculus
- Malliavin Monte Carlo Greeks for jump diffusions
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- Mean-variance hedging in continuous time
- On Lévy processes, Malliavin calculus and market models with jumps
- On pricing and reserving with-profits life insurance contracts
- Option pricing and Esscher transform under regime switching
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Size-biased sampling of Poisson point processes and excursions
- The Variance Gamma Process and Option Pricing
- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
Cited in
(26)- A hidden Markov-modulated jump diffusion model for European option pricing
- FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Valuing variable annuity guarantees with the multivariate Esscher transform
- Local risk-minimization under Markov-modulated exponential Lévy model
- Valuation and risk assessment of participating life insurance in the presence of credit risk
- Market-making strategy with asymmetric information and regime-switching
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Pricing annuity guarantees under a regime-switching model
- Fair valuation of life insurance contracts under a correlated jump diffusion model
- A self-exciting threshold jump-diffusion model for option valuation
- Pricing participating policies under the Meixner process and stochastic volatility
- Skimming pricing for a class of diffusion models
- Fair valuation of life insurance contracts under a two-sided jump diffusion model
- Numerical schemes for option pricing in regime-switching jump diffusion models
- A hidden Markov regime-switching model for option valuation
- A tree approach to options pricing under regime-switching jump diffusion models
- Pricing life insurance with Poisson jump-diffusion under no-arbitrage framework
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- On Fair Valuation of Participating Life Insurance Policies With Regime Switching
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
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