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Conference Paper: Valuing T-year contingent options

TitleValuing T-year contingent options
Authors
Yang, HGerber, HUShiu, ESW
Issue Date2011
Citation
The 2011 HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong, 9-10 December 2011. In Conference Program, 2011, p. 10-11 How to Cite?
AbstractWe consider the problem of valuing Guaranteed Minimum Death Benefits (GMDB) in various variable annuity and equity-indexed annuity contracts. We assume that the life contingent options will expire at a fixed time T. By using a discounted density function approach, we provide closed for expressions for the values of the contingent options. In particular we show that the results in Ulm (2008) can be obtained easily using our approach. This talk is based on a joint paper with Hans Gerber and Elias Shiu.
DescriptionInvited speaker
Persistent Identifierhttp://hdl.handle.net/10722/165737

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_US
dc.contributor.authorGerber, HUen_US
dc.contributor.authorShiu, ESWen_US
dc.date.accessioned2012-09-20T08:22:47Z-
dc.date.available2012-09-20T08:22:47Z-
dc.date.issued2011en_US
dc.identifier.citationThe 2011 HKU-HKUST-Stanford Conference in Quantitative Finance, Hong Kong, 9-10 December 2011. In Conference Program, 2011, p. 10-11en_US
dc.identifier.urihttp://hdl.handle.net/10722/165737-
dc.descriptionInvited speaker-
dc.description.abstractWe consider the problem of valuing Guaranteed Minimum Death Benefits (GMDB) in various variable annuity and equity-indexed annuity contracts. We assume that the life contingent options will expire at a fixed time T. By using a discounted density function approach, we provide closed for expressions for the values of the contingent options. In particular we show that the results in Ulm (2008) can be obtained easily using our approach. This talk is based on a joint paper with Hans Gerber and Elias Shiu.-
dc.languageengen_US
dc.relation.ispartofHKU-HKUST-Stanford Conference in Quantitative Finance Program 2011en_US
dc.titleValuing T-year contingent optionsen_US
dc.typeConference_Paperen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.emailGerber, HU: hans1196@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturepostprint-
dc.identifier.hkuros210948en_US
dc.identifier.spage10-
dc.identifier.epage11-

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