Pricing chained dynamic fund protection
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DOI: 10.1016/j.najef.2016.05.004
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References listed on IDEAS
- Lee, Hangsuck, 2003. "Pricing equity-indexed annuities with path-dependent options," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 677-690, December.
- Chu, Chi Chiu & Kwok, Yue Kuen, 2004. "Reset and withdrawal rights in dynamic fund protection," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 273-295, April.
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Cited by:
- Kim, Geonwoo & Jeon, Junkee, 2018. "Closed-form solutions for valuing partial lookback options with random initiation," Finance Research Letters, Elsevier, vol. 24(C), pages 321-327.
- Zhang, Jiayi & Zhou, Ke, 2024. "Analytical valuation of vulnerable chained options," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
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Keywords
Dynamic fund protection; Chained option; Reflection principle; Hitting time;All these keywords.
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