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The design of equity-indexed annuities
16 references·6 citing·32 second hop
The design of equity-indexed annuities (2008)The design of equity-indexed annuitiesTheory of rational option pricing (2005)Theory of rational option pri…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…The Design of an Optimal Insurance Policy (1992)The Design of an Optimal Insu…Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Optimal insurance and generalized deductibles (1974)Optimal insurance and general…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…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)Moment matching machine learn…Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the op…Valuation of equity-indexed annuity under stochastic mortality and interest rate (2010)Valuation of equity-indexed a…On the optimal design of insurance contracts with guarantees (2010)On the optimal design of insu…A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets (2009)A Note on the Suboptimality o…Consumption-Portfolio Policies: An Inverse Optimal Problem (1994)Consumption-Portfolio Policie…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1992The Design of an Optimal Insurance Policy514 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited

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1974
Optimal insurance and generalized deductibles
377 cited

Cited by

  • 2017Moment matching machine learning methods for risk management of large variable annuity portfolios40 cited
  • 1994Consumption-Portfolio Policies: An Inverse Optimal Problem33 cited
  • 2010On the optimal design of insurance contracts with guarantees31 cited
  • 2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets26 cited
  • 2010Valuation of equity-indexed annuity under stochastic mortality and interest rate24 cited
  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited