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Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks
16 references·10 citing·39 second hop
Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks (2007)Robustly Hedging Variable Annuities With …A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Investment guarantees : model…Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)The Titanic Option: Valuation…Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Hedging Derivative Securities…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…A market model for stochastic implied volatility (1999)A market model for stochastic…Reserving for maturity guarantees: Two approaches (1997)Reserving for maturity guaran…Variance-Optimal Hedging in Discrete Time (1995)Variance-Optimal Hedging in D…Pricing of Unit-linked Life Insurance Policies (1994)Pricing of Unit-linked Life I…On Quadratic Cost Criteria for Option Hedging (1994)On Quadratic Cost Criteria fo…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Mean-Variance Hedging for General Claims (1992)Mean-Variance Hedging for Gen…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Deep hedging of long-term financial derivatives (2021)Deep hedging of long-term fin…Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (2017)Pricing and hedging guarantee…Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017)Equity-linked annuity pricing…Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (2016)Pricing and hedging of guaran…Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits (2015)Valuing variable annuities wi…Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective (2015)Pricing and Hedging Variable …Pricing and hedging of variable annuities with state-dependent fees (2014)Pricing and hedging of variab…The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011)The Impact of Stochastic Vola…Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method (2010)Pricing Asian Options and Equ…Pricing Annuity Guarantees Under a Regime-Switching Model (2009)Pricing Annuity Guarantees Un…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Guaranteed Annuity Options (2003)Financial valuation of guaranteed minimum withdrawal benefits (2005)Actuarial mathematics for life contingent risks (2010)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)Approximating Random Variables by Stochastic Integrals (1994)The Variance-Optimal Martingale Measure for Continuous Processes (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Stochastic Integration and Differential Equations (2005)The Random Character of Stock Market Prices (1968)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Empirical Performance of Alternative Option Pricing Models (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-parametric calibration of jump–diffusion option pricing models (2004)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Statistical Arbitrage in the U.S. Equities Market (2008)Hedging of contingent claims under incomplete information (1990)Approximation pricing and the variance-optimal martingale measure (1996)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)A solution approach to valuation with unhedgeable risks (2001)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1995Variance-Optimal Hedging in Discrete Time332 cited
  • 2003Investment guarantees : modeling and risk management for equity-linked life insurance269 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 cited
  • 1999A market model for stochastic implied volatility158 cited
  • 2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
  • 1997Reserving for maturity guarantees: Two approaches

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139 cited
  • 1994Pricing of Unit-linked Life Insurance Policies132 cited
  • Cited by

    • 2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps79 cited
    • 2009Pricing Annuity Guarantees Under a Regime-Switching Model72 cited
    • 2015Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits53 cited
    • 2011The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities45 cited
    • 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited
    • 2017Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method36 cited
    • 2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality36 cited
    • 2015Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective34 cited
    • 2021Deep hedging of long-term financial derivatives34 cited
    • 2014Pricing and hedging of variable annuities with state-dependent fees28 cited