PRICING MATURITY GUARANTEE WITH DYNAMIC WITHDRAWAL BENEFIT UNDER VASICEK INTEREST RATE MODEL
Keywords:
maturity guarantee, dynamic withdrawal benefit, forward neutral measureAbstract
Motivated by Ko et al. (2010), who propose a new equity-linked product called “maturity guarantee with dynamic withdrawal benefit” (MGDWB), we consider the pricing of this product under a Vasicek stochastic interest rates framework. The explicit pricing formulas for the dynamic withdrawal benefit (DWB) payment stream and the maturity guarantee can be obtained when the DWB payment level is set to be a function of zero-coupon bond.
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Published
2016-07-29
How to Cite
Pan, J. (2016). PRICING MATURITY GUARANTEE WITH DYNAMIC WITHDRAWAL BENEFIT UNDER VASICEK INTEREST RATE MODEL. Italian Journal of Pure and Applied Mathematics, 36, 519–534. Retrieved from https://journals.uniurb.it/index.php/ijpam/article/view/6601
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Section
Articoli - Forum Editrice
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Copyright (c) 2016 Jie Pan
This work is licensed under a Creative Commons Attribution 4.0 International License.
L'opera è pubblicata sotto Licenza Creative Commons Attribuzione 4.0 Internazionale (CC-BY)
