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ArticlePricing maturity guarantee with dynamic withdrawal benefit

Bangwon Ko2010

Article2010

Pricing maturity guarantee with dynamic withdrawal benefit

Bangwon Ko · Elias S. W. Shiu · Wei Li

22 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 1998Arbitrage Theory in Continuous Time 1995Option pricing by Esscher transforms.2004Optimal Dividends 1996Actuarial bridges to dynamic hedging and option pricing 2003Pricing equity-indexed annuities with path-dependent options 2000An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift 2000Pricing Dynamic Investment Fund Protection

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2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees

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Year2010

Typearticle

Published2010-04-27

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2010.04.006

openalex_workW2010796074

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