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Communications in Statistics - Theory and Methods Volume 44, 2015 - Issue 11
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Original Articles

Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model

Huahui YanDepartment of Applied Mathematics, Donghua University, Shanghai, China
,
Huisheng ShuSchool of Mathematics, Shanghai University of Finance and Economics, Shanghai, ChinaCorrespondence[email protected]
&
Xiu KanCollege of Electronic and Electrical Engineering, Shanghai University of Engineering Science, Shanghai, China
Pages 2207-2221 | Received 10 Dec 2012, Accepted 21 Jun 2013, Published online: 22 Jun 2015

Citations (7)

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Read on this site (4)

Yuanchuang Shan, Haoran Yi, Xuekang Zhang & Huisheng Shu. (2023) Option pricing under a Markov-modulated Merton jump-diffusion dividend. Communications in Statistics - Theory and Methods 52:5, pages 1490-1506.
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Mengmeng Guo, Xiu Kan & Huisheng Shu. (2021) Optimal investment and reinsurance problem with jump-diffusion model. Communications in Statistics - Theory and Methods 50:5, pages 1082-1098.
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HuaHui Yan, Qihong Chen & HuiSheng Shu. (2020) Option pricing based on a regime switching dividend process. Communications in Statistics - Theory and Methods 49:24, pages 5964-5974.
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Linyi Qian, Wei Wang, Ning Wang & Shuai Wang. (2019) Pricing and hedging equity-indexed annuities via local risk-minimization. Communications in Statistics - Theory and Methods 48:6, pages 1417-1434.
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Articles from other publishers (3)

Yuanchuang Shan, Huisheng Shu & Haoran Yi. (2023) Pricing Equity-Indexed Annuities under a Stochastic Dividend Model. Mathematics 11:3, pages 603.
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Yingyi Fang, Huisheng Shu, Xiu Kan, Xin Zhang & Zhiwei Zheng. (2017) The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model. Open Journal of Statistics 07:06, pages 1067-1080.
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Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz & Edwin Hon-Man Ng. (2022) Risk allocation through Shapley decompositions with applications to variable annuities. SSRN Electronic Journal.
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