Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
type: Item
instance of: scholarly article
title: Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
author: Yanyan Li
published in: Journal of Computational and Applied Mathematics
publication date: 2022-12-09T00:00:00Z
review text: The paper deals with an actuarial version of the American option pricing problem. The goal is to price a contract which can be terminated at time \(\tau\), \( \tau \in (0,T]\), with a payoff \[ F_\tau + P(\tau) (G_\tau - F_\tau)^+, \] where \(P(t)\) is an increasing penalty function \[ 0 < P(t) \leq P(T)=1, \] \(G_t\) is a deterministic guaranteed minimum payoff and \(F_t\) is the account value at time \(t\). The provided model is based on the assumption that \(F_t=e^{-ct} S_t\), where \(S_t\) is a regime-switching jump diffusion process such that \(e^{-rt}S_t\) is a martingale in the pricing measure \(Q\) and that the intensity of the stopping time \(\tau\) is a diffusion process.
reviewed by: Piotr Jaworski
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 7630795
zbMATH Keywords: regime-switching jump diffusion model
zbMATH Keywords: GMMB
zbMATH Keywords: continuous-time Markov chain
zbMATH Keywords: surrender risk
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114914
OpenAlex ID: W4307818434
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DOI: 10.1016/J.CAM.2022.114914
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