Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
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Publication:3462361
DOI10.1080/03610926.2013.819922zbMath1329.91132OpenAlexW2058546560MaRDI QIDQ3462361
Huisheng Shu, Huahui Yan, Xiu Kan
Publication date: 5 January 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.819922
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Option pricing based on a regime switching dividend process ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Optimal investment and reinsurance problem with jump-diffusion model ⋮ Option pricing under a Markov-modulated Merton jump-diffusion dividend
Cites Work
- A Markov-modulated model for stocks paying discrete dividends
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- Option pricing and Esscher transform under regime switching
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Ergodic Control of Switching Diffusions
- Valuing Equity-Indexed Annuities
- A Regime-Switching Model of Long-Term Stock Returns
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