[HTML][HTML] European option pricing with market frictions, regime switches and model uncertainty

TK Siu - Insurance: Mathematics and Economics, 2023 - Elsevier
The impact of market frictional costs on pricing insurance and financial products in a regime-
switching environment has not been well-explored. This paper introduces a general pricing …

Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

W Zhong, B Shi, Z Zhang - Journal of Computational and Applied …, 2024 - Elsevier
We propose an efficient valuation approach for guaranteed minimum benefits embedded in
variable annuity (VA) contracts, where the price of underlying asset is modeled by a mean …

Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees

M Ai, Y Wang, Z Zhang, D Zhu - Scandinavian Actuarial Journal, 2024 - Taylor & Francis
This paper focuses on the valuation of variable annuities with a guaranteed minimum
maturity benefit under a regime-switching Lévy model. The model allows policyholders to …

Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model

W Hu, T Pang - Numerical Algebra, Control and Optimization, 2024 - aimsciences.org
In this paper, we consider some pricing methods and hedging strategies of Guaranteed
Minimum Benefits (GMBs) in actuarial science and we extend the existing framework by …