Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …

In this paper, we study the valuation problem of life-contingent lookback options embedded
in variable annuity with guaranteed minimum death benefit (GMDB). Specifically, the …

We propose a computationally efficient method for pricing various types of lookback options
under Markov models. We utilize the model-free representations of lookback option prices …

This work introduces two new financial derivatives into the finance literature. The first is the
return barrier option, which has emerged recently as a popular contract in the OTC markets …

This paper focuses on the valuation of variable annuities with a guaranteed minimum
maturity benefit under a regime-switching Lévy model. The model allows policyholders to …

This paper studies the valuation problem of the defined benefit (DB) underpin guarantee.
We consider that the salary process follows a geometric Brownian motion, and the stochastic …

This work introduces two new financial derivatives into the finance literature. The first is the
Return Barrier Option, which has emerged recently as a popular contract in the OTC …

We propose a novel analytical method to valuate VIX options under the general class of
affine and non-affine stochastic volatility models, which extends the current literature in …

Hybrid equity-rate derivatives are commonly traded between financial institutions, but are
challenging to price with traditional methods. Especially challenging are those contracts …