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.
Pricing Options and Equity-Indexed Annuities in Regime-Switching Models by Trinomial Tree Method
Pricing Options and Equity-Indexed Annuities in Regime-Switching Models by Trinomial Tree Method - 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 Options and Equity-Indexed Annuities in Regime-Switching Models by Trinomial Tree Method write by Fei-Lung Yuen. This book was released on 2017-01-26. Pricing Options and Equity-Indexed Annuities in Regime-Switching Models by Trinomial Tree Method available in PDF, EPUB and Kindle.
Pricing Options and Equity-indexed Annuities in Regime-switching Models by Trinomial Tree Method
Pricing Options and Equity-indexed Annuities in Regime-switching Models by Trinomial Tree Method - 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 Options and Equity-indexed Annuities in Regime-switching Models by Trinomial Tree Method write by Fei-lung Yuen. This book was released on 2010. Pricing Options and Equity-indexed Annuities in Regime-switching Models by Trinomial Tree Method 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.
Pricing Equity Index Annuities with Surrender Options in Four Models
Pricing Equity Index Annuities with Surrender Options in Four Models - 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 Equity Index Annuities with Surrender Options in Four Models write by Abdou Kélani. This book was released on 2015. Pricing Equity Index Annuities with Surrender Options in Four Models available in PDF, EPUB and Kindle. Since Keyport Life first launched ”Key Index” in February 1995, Equity-indexed annuities are considered to be the most innovative products to appear on the market in years. EIAs are, essentially equity-linked deferred annuities which provide the policyholder with a guaranteed accumulation rate on their premium, and also at maturity, benefits from an additional return based on the performance of an equity mutual fund or a family of mutual funds or a stock index, typically of the Standard and Poor's (S&P 500) index, so the customer can profit from the growth of the stock market. Products designs of EIAs can vary , depending on the companies that sell them.In this paper, we focus on the pricing of one of the product design in the market which gives the possibility to surrender their policy before maturity. Such options can be valued using Monte Carlo simulation method proposed for pricing American options but, here, we use the least squares Monte-Carlo suggested by Longstaff and Schwartz added to the control variate tool in order to construct efficient estimators. We analyze these equity-linked life insurance contracts under four different models. The frameworks differ from the way we model the price of the fund associated with the contract. The first setting is the usual Black and Scholes model, the second is the environment of jump diffusions, especially a Kou process, the third is the regime switching log normal model developed by Hamilton and the fourth is a mixed of a regime switching and a jump diffusion. The surrender option is priced using the Longstaff and Schwartz methodology.
