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Valuing equity-linked death benefits in general exponential Lévy models · Study

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ArticleValuing equity-linked death benefits in general exponential Lévy models

Zhimin Zhang2019

OA

Articlebronze2019

Valuing equity-linked death benefits in general exponential Lévy models

Zhimin Zhang · Yaodi Yong · Wenguang Yu

56 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Probability and Risk Models

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References

2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds 2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps 2014Efficient Option Pricing by Frame Duality with the Fast Fourier Transform 2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach 2008Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws

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2019Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion

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Year2019

Typearticle

Published2019-08-05

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations56

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2019.112377

openalex_workW2965315875

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