Journal Article10.1016/J.CAM.2021.113508
Pricing variable annuity with surrender guarantee
Junkee Jeon,Minsuk Kwak +1 more
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TL;DR: The surrender benefit of the variable annuity contract embedded with a guaranteed minimum accumulated benefit rider provides a protection against the downside risk of financial market throughout the life of contract, and thus it can be referred to as surrender guarantee.
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About: This article is published in Journal of Computational and Applied Mathematics. The article was published on 01 Sep 2021. The article focuses on the topics: Surrender.
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Citations
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
TL;DR: In this article , the valuation and optimal surrender of variable (equity-linked) annuities under a Lévy-driven equity market with mortality risk were studied, where a practical periodic fee structure which can vary over time and is assessed as a proportion of the fund value was proposed.
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Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment
Junkee Jeon,Geon-Woo Kim +1 more
TL;DR: In this article , the American strangle option in a mean-reverting lognormal process is investigated and an analytic pricing formula for an American strangles option is explicitly provided.
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Variational inequality arising from variable annuity with mean reversion environment
Junkee Jeon,Geon-Woo Kim +1 more
TL;DR: This paper formulates a variational inequality for variable annuity investors with mean-reverting assets, solving it analytically using the Mellin transform to derive optimal surrender strategies and boundaries, and examines their sensitivity to key parameters.
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Lifetime Portfolio Choice with Costly Adjustment for Living Standards
Junkee Jeon,Hyeng Keun Koo,Jehan Oh +2 more
TL;DR: This study examines lifetime portfolio choice under costly adjustment for living standards, considering the impact of consumption habits and adjustment costs on optimal investment strategies and welfare outcomes in a dynamic setting.
1
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The American Put Option Valued Analytically
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TL;DR: An analytic solution to the American put problem is derived in this paper, where the hedge ratio and other derivatives of the solution are presented, and a polynomial expression is developed for evaluating these formulae.
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Optimal Stopping and the American Put
TL;DR: In this article, it was shown that the problem of pricing the American put is equivalent to solving an optimal stopping problem and that there is a unique solution to this problem which has a lower boundary.
Pricing and Hedging American Options: A Recursive Integration Method
TL;DR: In this paper, a new method for pricing and hedging American options along with an efficient implementation procedure is presented, which is efficient and accurate in computing both option values and various option hedge parameters.