Pricing Discrete Dynamic Fund Protections

DOI10.1080/10920277.2003.10596115zbMath1084.91506OpenAlexW2090786948MaRDI QIDQ5715934

Hon-Kwok Fung, Leong-Kwan Li

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596115

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Reset and withdrawal rights in dynamic fund protection ⋮ Pricing dynamic fund protections with regime switching ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Cites Work

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• From ruin theory to pricing reset guarantees and perpetual put options
• Connecting discrete and continuous path-dependent options
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• A Dynamic Programming Procedure for Pricing American-Style Asian Options
• Algorithm 659
• Pricing Lookback Options and Dynamic Guarantees
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Dynamic Investment Fund Protection
• Valuing Equity-Indexed Annuities
• Dynamic Fund Protection
• Pricing Perpetual Options for Jump Processes

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