Dynamic Fund Protection

DOI10.1080/10920277.2001.10595996zbMath1083.60513OpenAlexW2021475375MaRDI QIDQ5718218

Phelim P. Boyle, Junichi Imai

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595996

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (18)

Dynamic Fund Protection for Property Markets ⋮ Reset and withdrawal rights in dynamic fund protection ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Pricing dynamic fund protections with regime switching ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ The pricing of dynamic fund protection with default risk ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ Pricing Perpetual Fund Protection with Withdrawal Option ⋮ Pricing Discrete Dynamic Fund Protections ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Optimal portfolio management with American capital guarantee ⋮ Long-term optimal portfolios with floor ⋮ Pricing the equity-linked and principal-protected securities with cap and path dependence ⋮ 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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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• From ruin theory to pricing reset guarantees and perpetual put options
• Connecting discrete and continuous path-dependent options
• Reserving for maturity guarantees: Two approaches
• Monte Carlo methods for security pricing
• Pricing and hedging long-term options
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Volatility skews and extensions of the Libor market model
• Pricing Dynamic Investment Fund Protection
• Valuing Equity-Indexed Annuities
• Pricing Perpetual Options for Jump Processes

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