Pricing maturity guarantee under a refracted Brownian motion

DOI10.1134/S1995080213030025zbMath1284.91538MaRDI QIDQ384225

Taehan Bae, Bangwon Ko

Publication date: 27 November 2013

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

equity linked insurancematurity guaranteerefracted Brownian motion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis

Cites Work

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• Martingale methods in financial modelling.
• Refracted Lévy processes
• Reserving for maturity guarantees: Two approaches
• Stochastic calculus for finance. II: Continuous-time models.
• On optimal dividends: from reflection to refraction
• Hedging and Reserving for Single-Premium Segregated Fund Contracts

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