Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
JL Kirkby, JP Aguilar - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …
The return barrier and return timer option with pricing under Levy processes
JL Kirkby, JP Aguilar - Expert Systems with Applications, 2023 - Elsevier
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 …
return barrier option, which has emerged recently as a popular contract in the OTC markets …
A large class of bilateral distributions for financial applications
K Moutanabbir, HP Ezin - Available at SSRN 4536716, 2023 - papers.ssrn.com
In this paper, we introduce the class of Bilateral Mixed Erlang (BME) distributions.
Capitalizing on the different properties of the Mixed Erlang distribution, we show that the …
Capitalizing on the different properties of the Mixed Erlang distribution, we show that the …
The Return Barrier and Return Timer Option with Pricing Under Lévy Processes
J Lars Kirkby, JP Aguilar - Available at SSRN 4308310, 2023 - papers.ssrn.com
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 …
Return Barrier Option, which has emerged recently as a popular contract in the OTC …
[PDF][PDF] Option pricing using the exponential bilateral mixed-Erlang model
K Moutanabbir, HA Donfack, HP EZIN - 2023 - researchgate.net
In this paper, an explicit expression for the price of a European option is derived when the
underlying asset's price is following the Exponential Bilateral Mixed-Erlang (EBME) model …
underlying asset's price is following the Exponential Bilateral Mixed-Erlang (EBME) model …