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Conference Paper: Valuing equity-linked death benefit in jump diffusion models

TitleValuing equity-linked death benefit in jump diffusion models
Authors
Yang, H
Issue Date2015
Citation
2015 Symposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 10-11 October 2015 How to Cite?
AbstractWe 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 Identifierhttp://hdl.handle.net/10722/239156

 

DC FieldValueLanguage
dc.contributor.authorYang, H-
dc.date.accessioned2017-03-08T08:56:10Z-
dc.date.available2017-03-08T08:56:10Z-
dc.date.issued2015-
dc.identifier.citation2015 Symposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 10-11 October 2015-
dc.identifier.urihttp://hdl.handle.net/10722/239156-
dc.description.abstractWe 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.languageeng-
dc.relation.ispartofSymposium on Insurance, Actuarial Science and Risk Management, Guangzhou, China, 2015-
dc.titleValuing equity-linked death benefit in jump diffusion models-
dc.typeConference_Paper-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.identifier.hkuros263540-

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