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Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model

文献类型：期刊论文

作者Wang, Yayun2; Liu, Shengda1
刊名COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION
出版日期2024
卷号128页码:19
关键词Regime-switching Levy model Complex Fourier series method European-style Asian option payoffs GMDB
ISSN号1007-5704
DOI10.1016/j.cnsns.2023.107605
通讯作者Liu, Shengda(thinksheng@foxmail.com)
英文摘要This paper presents a novel and efficient approach to pricing equity-linked guaranteed minimum death benefits (GMDB) with European-style geometric Asian and arithmetic Asian payoffs. Our method assumes that the underlying asset process follows a regime-switching Levy model, which captures the key features of market dynamics in the continuous transition of the economy. To derive the approximate value of GMDB products, we employ the complex Fourier series (CFS) expansion method. Our error analysis demonstrates that this approach exhibits an exponential convergence rate. In our numerical experiments, we compare the CFS approach to other Fourier transform methods and Monte Carlo simulation. The results show that our method outperforms the other approaches in terms of both efficiency and accuracy. This paper contributes to the literature on pricing equity-linked GMDB products by proposing a novel and efficient approach based on regime-switching Levy models and complex Fourier series expansion. The implications of our results may have significant practical implications for the insurance industry and financial markets.
WOS关键词VOLATILITY MODEL ; OPTIONS ; VALUATION ; SERIES ; BOUNDS
资助项目Natural Science Foundation of Chongqing[CSTB2022NSCQ-MSX1347] ; National Natural Science Foundation of China[62203442]
WOS研究方向Mathematics ; Mechanics ; Physics
语种英语
WOS记录号WOS:001094265600001
出版者ELSEVIER
资助机构Natural Science Foundation of Chongqing ; National Natural Science Foundation of China
源URL[http://ir.ia.ac.cn/handle/173211/54424]  
专题多模态人工智能系统全国重点实验室
通讯作者Liu, Shengda
作者单位1.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China
2.Chongqing Univ Posts & Telecommun, Key Lab Intelligent Anal & Decis Complex Syst, Chongqing 400065, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Yayun,Liu, Shengda. Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model[J]. COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION,2024,128:19.
APA Wang, Yayun,&Liu, Shengda.(2024).Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model.COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION,128,19.
MLA Wang, Yayun,et al."Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model".COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION 128(2024):19.

入库方式： OAI收割

来源：自动化研究所

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