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Conference Paper: Valuing equity-linked death benefit in jump diffusion models
Title | Valuing equity-linked death benefit in jump diffusion models |
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Authors | |
Issue Date | 2015 |
Citation | 2015 Symposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 10-11 October 2015 How to Cite? |
Abstract | We consider the valuation problem of Guaranteed Minimum Death Benefits in various equity-linked products. We are interested in modeling the stock price as the exponential of a Brownian motion plus an independent compound Poisson process. Results for exponential stopping of a Levy process are used to derive a series of closed-form formulas for a variety of contingent call and put options, lookback options, and barrier options with one or two barriers. This is a join paper with Hans U. Gerber and Elias S.W. Shiu. |
Persistent Identifier | http://hdl.handle.net/10722/239156 |
DC Field | Value | Language |
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dc.contributor.author | Yang, H | - |
dc.date.accessioned | 2017-03-08T08:56:10Z | - |
dc.date.available | 2017-03-08T08:56:10Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | 2015 Symposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 10-11 October 2015 | - |
dc.identifier.uri | http://hdl.handle.net/10722/239156 | - |
dc.description.abstract | We consider the valuation problem of Guaranteed Minimum Death Benefits in various equity-linked products. We are interested in modeling the stock price as the exponential of a Brownian motion plus an independent compound Poisson process. Results for exponential stopping of a Levy process are used to derive a series of closed-form formulas for a variety of contingent call and put options, lookback options, and barrier options with one or two barriers. This is a join paper with Hans U. Gerber and Elias S.W. Shiu. | - |
dc.language | eng | - |
dc.relation.ispartof | Symposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 2015 | - |
dc.title | Valuing equity-linked death benefit in jump diffusion models | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | - |
dc.identifier.authority | Yang, H=rp00826 | - |
dc.identifier.hkuros | 263540 | - |