Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

DOI10.1080/10920277.2002.10596047MaRDI QIDQ5715864zbMATH OpenOpenAlexFDO

Authors H. Windcliff, Martin le Roux, P. A. Forsyth, K. R. Vetzal

Publication date 5 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2002.10596047

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Option pricing when underlying stock returns are discontinuous
• Reserving for maturity guarantees: Two approaches
• Shout options: A framework for pricing contracts which can be modified by the investor
• Valuation of segregated funds: shout options with maturity extensions.
• Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products

Cited in

(8)

• Exact solutions for a strike reset put option and a shout call option
• Application of data clustering and machine learning in variable annuity valuation
• Modeling partial Greeks of variable annuities with dependence
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• Options with Multiple Reset Rights
• Reset and withdrawal rights in dynamic fund protection
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• The effect of modelling parameters on the value of GMWB guarantees

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