Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model-Reference-Cited by-同舟云学术

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Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model

Published:2024 Issue:0 Volume:0 Page:0-0
ISSN:2155-3289
Container-title:Numerical Algebra, Control and Optimization
language:
Short-container-title:NACO

Author:

Hu Wenlong,Pang Tao¹

Affiliation:

1. Operations Research Program, North Carolina State University, Raleigh, NC 27695-7913, USA

Publisher

American Institute of Mathematical Sciences (AIMS)

Reference40 articles.

1. Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

2. A radial basis collocation method for pricing American options under regime-switching jump-diffusion models

3. Option valuation using the fast Fourier transform

4. Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks

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