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ArticlePricing equity-indexed annuities with path-dependent options

Hangsuck Lee2003

Article2003

Pricing equity-indexed annuities with path-dependent options

81 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

1995Option pricing by Esscher transforms.2008Mathematical Models of Financial Derivatives 1979Path Dependent Options: "Buy at the Low, Sell at the High"1991Path Dependent Options: The Case of Lookback Options 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts 1996Actuarial bridges to dynamic hedging and option pricing 2000Valuing Equity-Indexed Annuities 1998Exotic Options

Cited by

2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation 2006Pricing of Ratchet equity-indexed annuities under stochastic interest rates 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach 2015Pricing annuity guarantees under a double regime-switching model 2015VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

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2003Pricing Lookback Options and Dynamic Guaranteesarticle · 7 shared references 2003Pricing Perpetual Fund Protection with Withdrawal Optionarticle · 5 shared references 2000Valuing Equity-Indexed Annuitiesarticle · 4 shared references 2012Valuing equity-linked death benefits and other contingent options: A discounted density approacharticle · 4 shared references 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Optionsarticle · 3 shared references 2004Numerical pricing of discrete barrier and lookback options via Laplace transformsarticle · 3 shared references

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Year2003

Typearticle

Published2003-11-17

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations81

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2003.09.006

openalex_workW2033435952

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2007Lookback options and dynamic fund protection under multiscale stochastic volatility

2010Valuation of equity-indexed annuity under stochastic mortality and interest rate