Valuing equity-linked guaranteed minimum death benefits with<i> European</i>-style<i> Asian</i> payoffs under a regime switching jump-diffusion model

doi:10.1016/j.cnsns.2023.107605

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	Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model
	Wang, Yayun 2; Liu, Shengda 1
刊名	COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION
	2024
卷号	128 页码:19
关键词	Regime-switching Levy model Complex Fourier series method European-style Asian option payoffs GMDB
ISSN号	1007-5704
DOI	10.1016/j.cnsns.2023.107605
通讯作者	Liu, Shengda(thinksheng@foxmail.com)
英文摘要	This paper presents a novel and efficient approach to pricing equity-linked guaranteed minimum death benefits (GMDB) with European-style geometric Asian and arithmetic Asian payoffs. Our method assumes that the underlying asset process follows a regime-switching Levy model, which captures the key features of market dynamics in the continuous transition of the economy. To derive the approximate value of GMDB products, we employ the complex Fourier series (CFS) expansion method. Our error analysis demonstrates that this approach exhibits an exponential convergence rate. In our numerical experiments, we compare the CFS approach to other Fourier transform methods and Monte Carlo simulation. The results show that our method outperforms the other approaches in terms of both efficiency and accuracy. This paper contributes to the literature on pricing equity-linked GMDB products by proposing a novel and efficient approach based on regime-switching Levy models and complex Fourier series expansion. The implications of our results may have significant practical implications for the insurance industry and financial markets.
资助项目	Natural Science Foundation of Chongqing[CSTB2022NSCQ-MSX1347] ; National Natural Science Foundation of China[62203442]
WOS关键词	VOLATILITY MODEL ; OPTIONS ; VALUATION ; SERIES ; BOUNDS
WOS研究方向	Mathematics ; Mechanics ; Physics
语种	英语
出版者	ELSEVIER
WOS记录号	WOS:001094265600001
资助机构	Natural Science Foundation of Chongqing ; National Natural Science Foundation of China
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/54424]
专题	多模态人工智能系统全国重点实验室
通讯作者	Liu, Shengda
作者单位	1.Chinese Acad Sci, Inst Automat, State Key Lab Management & Control Complex Syst, Beijing 100190, Peoples R China 2.Chongqing Univ Posts & Telecommun, Key Lab Intelligent Anal & Decis Complex Syst, Chongqing 400065, Peoples R China
推荐引用方式 GB/T 7714	Wang, Yayun,Liu, Shengda. Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model[J]. COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION,2024,128:19.
APA	Wang, Yayun,&Liu, Shengda.(2024).Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model.COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION,128,19.
MLA	Wang, Yayun,et al."Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model".COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION 128(2024):19.