Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

By Zhenyu Cui, J. Kirkby, Duy Nguyen. 2017

78 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/e88c81b4383aea6a557f6f6f2623495cf8496e9b

Citations in the corpus

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “…framework has proven effective at solving a wide variety of problems in option pricing, including barrier and American options Kirkby et al. (2017), realized variance derivatives Cui et al. (2017b), Leitao Rodriguez et al. (2019), and cliquet-style equity-linked annuities Cui et al. (2017a).”