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Pricing equity-indexed annuities with path-dependent options
9 references·12 citing·42 second hop
Pricing equity-indexed annuities with path-dependent options (2003)Pricing equity-indexed annuities with pat…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Valuing Equity-Indexed Annuities (2000)Valuing Equity-Indexed Annuit…Partial Barrier Options (2000)Partial Barrier OptionsRisk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Exotic Options (1998)Exotic OptionsActuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Path Dependent Options: The Case of Lookback Options (1991)Path Dependent Options: The C…Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging (2021)Equity-linked Guaranteed Mini…Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality (2016)Valuing guaranteed equity-lin…VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (2015)VALUING EQUITY-LINKED DEATH B…Pricing annuity guarantees under a double regime-switching model (2015)Pricing annuity guarantees un…Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model (2014)Pricing of Equity Indexed Ann…Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)Valuing equity-linked death b…Valuation of equity-indexed annuity under stochastic mortality and interest rate (2010)Valuation of equity-indexed a…Pricing maturity guarantee with dynamic withdrawal benefit (2010)Pricing maturity guarantee wi…Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method (2010)Pricing Asian Options and Equ…Lookback options and dynamic fund protection under multiscale stochastic volatility (2007)Lookback options and dynamic …Pricing of Ratchet equity-indexed annuities under stochastic interest rates (2006)Pricing of Ratchet equity-ind…The Pricing of Options and Corporate Liabilities (1973)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)Theory of Rational Option Pricing (1973)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Connecting discrete and continuous path-dependent options (1999)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)Dynamic Asset Pricing Theory. (1993)Arbitrage Theory in Continuous Time (1998)The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Actuarial mathematics for life contingent risks (2010)Brownian Motion and Stochastic Flow Systems. (1987)Options, Futures, and Other Derivative Securities. (1990)Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates (2003)Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)An Introduction to Applied Geostatistics (1991)Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (2017)Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Robust hedging of the lookback option (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing Discrete Barrier Options with an Adaptive Mesh Model (1999)ON PRICING OF DISCRETE BARRIER OPTIONS (2003)Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Pricing Lookback Options and Dynamic Guarantees (2003)Capital Regulation for Position Risk in Banks, Securities Firms, and Insurance Companies (2005)The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk (2016)
this work references cited by second hop

References

  • 1995Option pricing by Esscher transforms.651 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1991Path Dependent Options: The Case of Lookback Options281 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 2000Valuing Equity-Indexed Annuities111 cited
  • 1998Exotic Options101 cited
  • 2000Partial Barrier Options82 cited

Cited by

  • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
  • 2006Pricing of Ratchet equity-indexed annuities under stochastic interest rates60 cited
  • 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
  • 2015Pricing annuity guarantees under a double regime-switching model42 cited
  • 2015VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK41 cited
  • 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited

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  • 2007Lookback options and dynamic fund protection under multiscale stochastic volatility30 cited
  • 2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited
  • 2010Valuation of equity-indexed annuity under stochastic mortality and interest rate24 cited
  • 2010Pricing maturity guarantee with dynamic withdrawal benefit22 cited
  • 2014Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model22 cited
  • 2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality16 cited