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Efficient Pricing of Ratchet Equity Indexed Annuities in a VG Economy
| Content Provider | Semantic Scholar |
|---|---|
| Author | Ballotta, Laura |
| Copyright Year | 2008 |
| Abstract | In this paper we propose a new method for approximating the price of arithmetic Asian options in a VG economy which is then applied to the problem of pricing Equity Indexed Annuity contracts. The proposed procedure is an extension to the case of a VG-based model of the moment-matching method developed by Turnbull and Wakeman (1991) and Levy (1992) for the pricing of this class of path-dependent options in the traditional Black-Scholes setting. The accuracy of the approximation is analysed against RQMC estimates for the case of ratchet Equity Indexed Annuities with index averaging. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1135696 |
| Alternate Webpage(s) | http://openaccess.city.ac.uk/5817/1/EIANAAJsub.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1135696 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
