Pricing some life-contingent lookback options under regime-switching Lévy models
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Publication:2075983
DOI10.1016/j.cam.2022.114082zbMath1483.91226OpenAlexW4205624916MaRDI QIDQ2075983
Publication date: 16 February 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114082
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees, Randomization and the valuation of guaranteed minimum death benefits, Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees, Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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