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3. Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion.

Author

Qian, Linyi, Wang, Rongming, and Zhao, Qian

Subjects
*STOCHASTIC analysis, *INTEREST rates, *ANNUITIES, *NUMERICAL analysis, *COMPUTATIONAL complexity, *EQUITY (Law)
Abstract

This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate. [ABSTRACT FROM AUTHOR]

Published
2014
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