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FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
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FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (2017)FOURIER SPACE TIME-STEPPING ALGORITHM FOR…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…A Fourier Transform Method for Spread Option Pricing (2010)A Fourier Transform Method fo…The effect of modelling parameters on the value of GMWB guarantees (2008)The effect of modelling param…GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)GUARANTEED MINIMUM WITHDRAWAL…A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)A Universal Pricing Framework…A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)A numerical scheme for the im…Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Hedging guarantees in variabl…Option pricing and Esscher transform under regime switching (2005)Option pricing and Esscher tr…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …An explicit solution to an optimal stopping problem with regime switching (2001)An explicit solution to an op…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…072103 (E50, M20) Option pricing by Esscher transforms (1995)072103 (E50, M20) Option pric…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Variance Risk Premiums (2008)Efficient Analytic Approximation of American Option Values (1987)Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mathematics of Financial Markets (1999)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)On a Formula Concerning Stochastic Differentials (1951)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Real option valuation in renewable energy literature: Research focus, trends and design (2017)Determinants of corporate borrowing (1977)Brownian Motion and Stochastic Calculus (2007)Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)“Options, Futures, and Other Derivatives” (2016)The Fragility of Market Risk Insurance (2022)Brownian motion and stochastic calculus (1991)A Theory of the Term Structure of Interest Rates (1985)A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Modelling and management of mortality risk: a review (2008)Portfolio Selection with Transaction Costs (1990)Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic Controls (1999)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Optimal retirement income tontines (2015)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)Hyperbolic Distributions in Finance (1995)Arbitrage Theory in Continuous Time (2004)Stochastic Differential Equations (2002)Stochastic Volatility for Lévy Processes (2003)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)
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References

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  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 1995072103 (E50, M20) Option pricing by Esscher transforms656 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance654 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 2005Option pricing and Esscher transform under regime switching419 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
  • 2010A Fourier Transform Method for Spread Option Pricing182 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2001An explicit solution to an optimal stopping problem with regime switching173 cited
  • 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
  • 2008The effect of modelling parameters on the value of GMWB guarantees

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103 cited
  • 2006Hedging guarantees in variable annuities under both equity and interest rate risks84 cited
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