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Pricing maturity guarantee with dynamic withdrawal benefit
13 references·1 citing·48 second hopsampled
Pricing maturity guarantee with dynamic withdrawal benefit (2010)Pricing maturity guarantee with dynamic w…Optimal Dividends (2004)Optimal DividendsPricing Perpetual Fund Protection with Withdrawal Option (2003)Pricing Perpetual Fund Protec…Pricing equity-indexed annuities with path-dependent options (2003)Pricing equity-indexed annuit…Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends (2003)Geometric Brownian Motion Mod…Dynamic Fund Protection (2001)Dynamic Fund ProtectionPricing Dynamic Investment Fund Protection (2000)Pricing Dynamic Investment Fu…An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift (2000)An Extension of P. Lévy's Dis…From ruin theory to pricing reset guarantees and perpetual put options (1999)From ruin theory to pricing r…Pricing Perpetual Options for Jump Processes (1998)Pricing Perpetual Options for…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Using Neural Networks to Price and Hedge Variable Annuity Guarantees (2018)Using Neural Networks to Pric…Theory of Rational Option Pricing (1973)On the Time Value of Ruin (1998)Insurance: Mathematics and Economics (2004)On a generalization of the Gerber–Shiu function to path-dependent penalties (2009)On the expectation of total discounted operating costs up to default and its applications (2009)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Stochastic Volatility for Levy Processes (2002)Brownian Motion and Stochastic Calculus (2007)Drawdowns and the Speed of Market Crash (2011)Processes of Class Sigma, Last Passage Times, and Drawdowns (2012)The Investment, Financing, and Valuation of the Corporation (1963)An introduction to mathematical risk theory (1979)Loss Models: From Data to Decisions (1999)On optimal reinsurance, dividend and reinvestment strategies (2010)Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (2011)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Utility Functions (1998)Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Pricing of Ratchet equity-indexed annuities under stochastic interest rates (2006)Mathematical Models of Financial Derivatives (2008)Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Financial Calculus (1996)Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (2007)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Some Optimal Dividends Problems (2004)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Strategies for Dividend Distribution: A Review (2009)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2004Optimal Dividends276 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 2003Pricing equity-indexed annuities with path-dependent options81 cited
  • 2000An Extension of P. Lévy's Distributional Properties to the Case of a Brownian Motion with Drift68 cited
  • 2000Pricing Dynamic Investment Fund Protection59 cited
  • 2003Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends56 cited
  • 1998Pricing Perpetual Options for Jump Processes52 cited
  • 1999From ruin theory to pricing reset guarantees and perpetual put options52 cited
  • 2001Dynamic Fund Protection37 cited
  • 2003Pricing Perpetual Fund Protection with Withdrawal Option35 cited

Cited by

  • 2018Using Neural Networks to Price and Hedge Variable Annuity Guarantees21 cited

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