Valuation of variable annuities under stochastic volatility and stochastic jump intensity (Q6169665)

scientific article; zbMATH DE number 7710968

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English	Valuation of variable annuities under stochastic volatility and stochastic jump intensity	scientific article; zbMATH DE number 7710968

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instance of

scholarly article

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title

Valuation of variable annuities under stochastic volatility and stochastic jump intensity (English)

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published in

Scandinavian Actuarial Journal

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publication date

12 July 2023

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zbMATH Keywords

stochastic volatility

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stochastic jump intensity

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GMBs

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PROJ

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MaRDI profile type

MaRDI publication profile

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cites work

Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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A Theory of the Term Structure of Interest Rates

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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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A General Valuation Framework for SABR and Stochastic Local Volatility Models

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Efficiently pricing double barrier derivatives in stochastic volatility models

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Valuing equity-linked death benefits and other contingent options: a discounted density approach

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On the Heston Model with Stochastic Interest Rates

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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility

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Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

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Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity

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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

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Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method

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Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

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Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

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Static hedging and pricing of exotic options with payoff frames

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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

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Equity-linked guaranteed minimum death benefits with dollar cost averaging

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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

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Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate

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VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

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Identifiers

zbMATH Open document ID

1520.91362

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DOI

10.1080/03461238.2022.2144432

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6169665