Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy write by Laura Ballotta. This book was released on 2009. Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy available in PDF, EPUB and Kindle. In this paper we propose a new method for approximating the price of arithmetic Asian options in a VG economy which is then applied to the problem of pricing Equity Indexed Annuity contracts. The proposed procedure is an extension to the case of a VG-based model of the moment-matching method developed by Turnbull and Wakeman (1991) and Levy (1992) for the pricing of this class of path-dependent options in the traditional Black-Scholes setting. The accuracy of the approximation is analysed against RQMC estimates for the case of ratchet Equity Indexed Annuities with index averaging.
Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series
Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series write by Geng Deng. This book was released on 2019. Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series available in PDF, EPUB and Kindle. Equity-Indexed Annuities (EIAs) are deferred annuities which accumulate value over time according to crediting formulas and realized equity index returns. We propose an efficient algorithm to value two popular crediting formulas found in EIAs - Annual Point-to-Point (APP) and Monthly Point-to-Point (MPP) - under general Lévy-process based index returns. APP contracts observe returns of referenced indexes annually and credit EIA accounts, subject to minimum and maximum returns. MPP contracts incorporate both local/monthly caps and global/annual floors on index credits. MPP contracts have payoffs of a "cliquet" option. Our algorithm, based on the COS method (Fang and Oosterlee, 2008), expands the present value of an EIA contract using Fourier-cosine series, expresses the value of the EIA contract as a series of terms involving simple characteristic function evaluations. We present several examples with different Lévy processes, including the Black-Scholes model and the CGMY model. These examples illustrate the efficiency of our algorithm as well as its versatility in computing annuity market sensitivities, which could facilitate the hedging and pricing of annuity contracts.
Pricing of Equity-indexed Annuities in a Regime-switching Model
Pricing of Equity-indexed Annuities in a Regime-switching Model - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Pricing of Equity-indexed Annuities in a Regime-switching Model write by Franziska Thieme. This book was released on 2010. Pricing of Equity-indexed Annuities in a Regime-switching Model available in PDF, EPUB and Kindle.
Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps
Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps write by Zhenyu Cui. This book was released on 2018. Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps available in PDF, EPUB and Kindle. In this paper, we develop a novel and efficient transform-based method to price equity-linked annuities (ELAs), including equity-indexed annuities (EIAs) and cliquet-style payoff structures popular in the insurance market under a general class of stochastic volatility models with jumps. We utilize frame duality and density projection combined with a continuous-time Markov chain (CTMC) weak approximation scheme and spectral filtering. Contracts considered include EIAs with return guarantees of a cliquet style. Models considered include exponential Levy processes, regime-switching Lévy processes, and stochastic volatility models with a general jump size distribution including Heston, Scott's, Hull-White, Schöbel-Zhu, and the 3/2 models. We also consider some recently proposed stochastic volatility models in the literature such as the -Hypergeometric model, and the 4/2 model. Our framework encompasses and extends the current literature on EIAs with highly efficient and accurate valuation methods. Numerical experiments confirm our findings.
The Everything Store
The Everything Store - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Everything Store write by Brad Stone. This book was released on 2013-10-15. The Everything Store available in PDF, EPUB and Kindle. The authoritative account of the rise of Amazon and its intensely driven founder, Jeff Bezos, praised by the Seattle Times as "the definitive account of how a tech icon came to life." Amazon.com started off delivering books through the mail. But its visionary founder, Jeff Bezos, wasn't content with being a bookseller. He wanted Amazon to become the everything store, offering limitless selection and seductive convenience at disruptively low prices. To do so, he developed a corporate culture of relentless ambition and secrecy that's never been cracked. Until now. Brad Stone enjoyed unprecedented access to current and former Amazon employees and Bezos family members, giving readers the first in-depth, fly-on-the-wall account of life at Amazon. Compared to tech's other elite innovators -- Jobs, Gates, Zuckerberg -- Bezos is a private man. But he stands out for his restless pursuit of new markets, leading Amazon into risky new ventures like the Kindle and cloud computing, and transforming retail in the same way Henry Ford revolutionized manufacturing. The Everything Store is the revealing, definitive biography of the company that placed one of the first and largest bets on the Internet and forever changed the way we shop and read.
