An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit

DOI10.1007/s11579-015-0153-5zbMath1404.91256arXiv1307.7070OpenAlexW2097416433MaRDI QIDQ253095

Runhuan Feng, Hans W. Volkmer

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.7070

zbMATH Keywords

option pricinghitting timeconfluent hypergeometric functionsgeometric Brownian motion with affine driftguaranteed minimum withdrawal benefitvariable annuity guaranteed benefitsYor's process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Uses Software

• DLMF

Cites Work

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