PRICING MATURITY GUARANTEE WITH DYNAMIC WITHDRAWAL BENEFIT UNDER VASICEK INTEREST RATE MODEL

Authors

  • Jie Pan Anhui University of Science and Technology - School of Science

Keywords:

maturity guarantee, dynamic withdrawal benefit, forward neutral measure

Abstract

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

Issue

N°36 - July 2016

Section

Articoli - Forum Editrice

License

Copyright (c) 2016 Jie Pan

Creative Commons License

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)