Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy

DOI10.1080/10920277.2010.10597639zbMath1219.91136OpenAlexW1973670041MaRDI QIDQ3088978

Laura Ballotta

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5817/1/EIANAAJsub.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Fourier based methods for the management of complex life insurance products ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS

Cites Work

• Exotic options under Lévy models: an overview
• Monte Carlo methods for security pricing
• On Asian option pricing for NIG Lévy processes
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
• Pricing and capital requirements for with profit contracts: modelling considerations
• Option Pricing With V. G. Martingale Components¹
• Changes of numéraire, changes of probability measure and option pricing
• The Variance Gamma Process and Option Pricing
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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