Pricing of equity indexed annuity under fractional Brownian motion model

DOI10.1155/2014/380718zbMath1471.91489OpenAlexW2046171817WikidataQ59036961 ScholiaQ59036961MaRDI QIDQ1723974

Lin Xu, Ding Jun Yao, Guang Jun Shen

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/380718

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Valuation of contingent claims with mortality and interest rate risks
• Affine processes for dynamic mortality and actuarial valuations
• Mortality modelling with Lévy processes
• Optimal surrender strategies for equity-indexed annuity investors
• No arbitrage without semimartingales
• Self-similar processes in collective risk theory
• Stock market prices and long-range dependence
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Pricing equity-indexed annuities with path-dependent options.
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• The design of equity-indexed annuities
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic mortality under measure changes
• An asymptotic expansion for one-sided Brownian exit densities
• Long-Term Memory in Stock Market Prices
• Nonparametric Pricing of Interest Rate Derivative Securities
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Pricing Lookback Options and Dynamic Guarantees
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities