Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

DOI10.1016/j.cam.2022.114914OpenAlexW4307818434MaRDI QIDQ2104088

Yanyan Li

Publication date: 9 December 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.2022.114914

zbMATH Keywords

continuous-time Markov chainGMMBsurrender riskregime-switching jump diffusion model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (1)

Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

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