Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model
Fractional Brownian motion with Hurst exponent H∈(1/2,1) is a good candidate for modeling financial time series with long-range dependence and self-similarity. The main purpose of this paper is to address the valuation of equity indexed annuity (EIA) designs under the market driven by fractional Bro...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/380718 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | Fractional Brownian motion with Hurst exponent H∈(1/2,1) is a good candidate for modeling financial time series with long-range dependence and self-similarity. The main purpose of this paper is to address the valuation of equity indexed annuity (EIA) designs under the market driven by fractional Brownian motion. As a result, this paper presents an explicit pricing expression for point-to-point EIA design and bounds for the pricing of high-water-marked EIA design. Some numerical examples are given to illustrate the impact of the parameters involved in the pricing problems. |
|---|---|
| ISSN: | 1085-3375 1687-0409 |