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A Lévy process-based framework for the fair valuation of participating life insurance contracts
16 references·8 citing·25 second hop
A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)A Lévy process-based framework for the fa…Theory of rational option pricing (2005)Theory of rational option pri…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…The variation of certain speculative prices (1997)The variation of certain spec…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Testing for pure-jump processes for high-frequency data (2015)Testing for pure-jump process…Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective (2015)Pricing and Hedging Variable …The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (2014)The valuation of GMWB variabl…On the Stochastic Properties of Carbon Futures Prices (2013)On the Stochastic Properties …Modeling high-frequency financial data by pure jump processes (2012)Modeling high-frequency finan…Modeling high-frequency financial data by pure jump processes (2012)Modeling high-frequency finan…On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation…Fair valuation of insurance contracts under Lévy process specifications (2007)Fair valuation of insurance c…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
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  • 1973Theory of Rational Option Pricing8,060 cited
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  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
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  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2000

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Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
399 cited

Cited by

  • 2012Modeling high-frequency financial data by pure jump processes60 cited
  • 2015Testing for pure-jump processes for high-frequency data52 cited
  • 2012Modeling high-frequency financial data by pure jump processes44 cited
  • 2010On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View42 cited
  • 2014The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours40 cited
  • 2015Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective34 cited
  • 2013On the Stochastic Properties of Carbon Futures Prices32 cited
  • 2007Fair valuation of insurance contracts under Lévy process specifications32 cited