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Valuing Equity-Indexed Annuities
13 references·16 citing·34 second hop
Valuing Equity-Indexed Annuities (2000)Valuing Equity-Indexed AnnuitiesRisk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (2001)Risk-Neutral Valuation: Prici…Financial Economics: With Applications to Investments, Insurance and Pensions (1999)Financial Economics: With App…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Risk-Neutral Valuation (1998)Risk-Neutral ValuationDerivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Actuarial 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…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017)Equity-linked annuity pricing…Pricing annuity guarantees under a double regime-switching model (2015)Pricing annuity guarantees un…Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)Valuing equity-linked death b…Mortality-Indexed Annuities Managing Longevity Risk Via Product Design (2011)Mortality-Indexed Annuities M…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 design of equity-indexed annuities (2008)The design of equity-indexed …Pricing of Ratchet equity-indexed annuities under stochastic interest rates (2006)Pricing of Ratchet equity-ind…PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE (2004)PRICING IN AN INCOMPLETE MARK…Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates (2003)Valuation of Equity-Indexed A…Pricing Lookback Options and Dynamic Guarantees (2003)Pricing Lookback Options and …Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insur…Pricing equity-indexed annuities with path-dependent options (2003)Pricing equity-indexed annuit…Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility (2003)Equity-Indexed Life Insurance…Dynamic Fund Protection (2001)Dynamic Fund ProtectionPricing Dynamic Investment Fund Protection (2000)Pricing Dynamic Investment Fu…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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Theory of Rational Option Pricing (1973)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Connecting discrete and continuous path-dependent options (1999)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)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Interest‐Rate Modelling (2014)Value at Risk (2000)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Measuring statistical evenness: A panoramic overview (2011)Applied Quantitative Finance (2017)Robust hedging of the lookback option (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)The cumulant process and Esscher's change of measure (2002)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Option pricing and Esscher transform under regime switching (2005)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1991Path Dependent Options: The Case of Lookback Options281 cited
  • 2001Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives208 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1998Risk-Neutral Valuation158 cited
  • 1999Financial Economics: With Applications to Investments, Insurance and Pensions145 cited

Cited by

  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
  • 2003Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates88 cited

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2003
Pricing equity-indexed annuities with path-dependent options
81 cited
  • 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
  • 2003Pricing Lookback Options and Dynamic Guarantees69 cited
  • 2011Mortality-Indexed Annuities Managing Longevity Risk Via Product Design62 cited
  • 2006Pricing of Ratchet equity-indexed annuities under stochastic interest rates60 cited
  • 2000Pricing Dynamic Investment Fund Protection59 cited
  • 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
  • 2008The design of equity-indexed annuities46 cited
  • 2015Pricing annuity guarantees under a double regime-switching model42 cited
  • 2004PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE41 cited
  • 2003Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility41 cited
  • 2010Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method40 cited
  • 2001Dynamic Fund Protection37 cited