Pricing equity-indexed annuities with path-dependent options

By Hangsuck Lee. 2003

89 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/0c906a7e52b829341140e07471d96bab153301bd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Hailiang Yang
2. E. Shiu
3. Hans U. Gerber
4. Masaaki Kijima
5. Tony Siu Tung Wong
6. Yan Zeng
7. Zhongfei Li
8. Kam Chuen Yuen

In Finance

1. Hailiang Yang
2. E. Shiu
3. Hans U. Gerber
4. Masaaki Kijima
5. Tony Siu Tung Wong
6. Xiaowen Zhou
7. Ronnie Loeffen
8. Zhongfei Li

Citations in the corpus

• Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, methodology): “Many equity-indexed annuities credit interest using a high water mark method or a low water mark method (Streiff and DiBiase, 1999, Chapter 4; Tiong, 2000; Lee, 2003).”
• Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, methodology): “The analysis, however, is mostly restricted to the standard Black–Scholes model; e.g., see Gerber and Shiu (2003); Hardy (2003); Lee (2003); Tiong (2000).”