Pricing and Hedging of Cliquet Options and Locally Capped Contracts

DOI10.1137/100818157zbMath1282.91320OpenAlexW2026671445MaRDI QIDQ2873132

Carole Bernard, Wenbo V. Li

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c03aeb6c799d919059a8191f440aa8b942ffcef4

zbMATH Keywords

hedgingpricingcliquet optionlocally capped payoff

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Derivative securities (option pricing, hedging, etc.) (91G20)

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The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Cliquet option pricing with Meixner processes ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Cliquet option pricing in a jump-diffusion Lévy model ⋮ Applications of the central limit theorem for pricing cliquet-style options ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Cliquet-style return guarantees in a regime switching Lévy model

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