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Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model
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| Zeitschriftentitel: | Abstract and Applied Analysis |
|---|---|
| Personen und Körperschaften: | , , |
| In: | Abstract and Applied Analysis, 2014, 2014, S. 1-9 |
| Format: | E-Article |
| Sprache: | Englisch |
| veröffentlicht: |
Hindawi Limited
|
| Schlagwörter: |
| author_facet |
Xu, Lin Shen, Guangjun Yao, Dingjun Xu, Lin Shen, Guangjun Yao, Dingjun |
|---|---|
| author |
Xu, Lin Shen, Guangjun Yao, Dingjun |
| spellingShingle |
Xu, Lin Shen, Guangjun Yao, Dingjun Abstract and Applied Analysis Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model Applied Mathematics Analysis |
| author_sort |
xu, lin |
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Xu, Lin Shen, Guangjun Yao, Dingjun 1085-3375 1687-0409 Hindawi Limited Applied Mathematics Analysis http://dx.doi.org/10.1155/2014/380718 <jats:p>Fractional Brownian motion with Hurst exponent<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" id="M1"><mml:mi>H</mml:mi><mml:mo>∈</mml:mo><mml:mo stretchy="false">(</mml:mo><mml:mn>1</mml:mn><mml:mo>/</mml:mo><mml:mn>2</mml:mn><mml:mo>,</mml:mo><mml:mn>1</mml:mn><mml:mo stretchy="false">)</mml:mo></mml:math>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.</jats:p> Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model Abstract and Applied Analysis |
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Hindawi Limited, 2014 |
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| title |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_unstemmed |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_full |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_fullStr |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_full_unstemmed |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_short |
Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_sort |
pricing of equity indexed annuity under fractional brownian motion model |
| topic |
Applied Mathematics Analysis |
| url |
http://dx.doi.org/10.1155/2014/380718 |
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2014 |
| physical |
1-9 |
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<jats:p>Fractional Brownian motion with Hurst exponent<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" id="M1"><mml:mi>H</mml:mi><mml:mo>∈</mml:mo><mml:mo stretchy="false">(</mml:mo><mml:mn>1</mml:mn><mml:mo>/</mml:mo><mml:mn>2</mml:mn><mml:mo>,</mml:mo><mml:mn>1</mml:mn><mml:mo stretchy="false">)</mml:mo></mml:math>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.</jats:p> |
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| author | Xu, Lin, Shen, Guangjun, Yao, Dingjun |
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| description | <jats:p>Fractional Brownian motion with Hurst exponent<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" id="M1"><mml:mi>H</mml:mi><mml:mo>∈</mml:mo><mml:mo stretchy="false">(</mml:mo><mml:mn>1</mml:mn><mml:mo>/</mml:mo><mml:mn>2</mml:mn><mml:mo>,</mml:mo><mml:mn>1</mml:mn><mml:mo stretchy="false">)</mml:mo></mml:math>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.</jats:p> |
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| spelling | Xu, Lin Shen, Guangjun Yao, Dingjun 1085-3375 1687-0409 Hindawi Limited Applied Mathematics Analysis http://dx.doi.org/10.1155/2014/380718 <jats:p>Fractional Brownian motion with Hurst exponent<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" id="M1"><mml:mi>H</mml:mi><mml:mo>∈</mml:mo><mml:mo stretchy="false">(</mml:mo><mml:mn>1</mml:mn><mml:mo>/</mml:mo><mml:mn>2</mml:mn><mml:mo>,</mml:mo><mml:mn>1</mml:mn><mml:mo stretchy="false">)</mml:mo></mml:math>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.</jats:p> Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model Abstract and Applied Analysis |
| spellingShingle | Xu, Lin, Shen, Guangjun, Yao, Dingjun, Abstract and Applied Analysis, Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model, Applied Mathematics, Analysis |
| title | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_full | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_fullStr | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_full_unstemmed | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_short | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| title_sort | pricing of equity indexed annuity under fractional brownian motion model |
| title_unstemmed | Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model |
| topic | Applied Mathematics, Analysis |
| url | http://dx.doi.org/10.1155/2014/380718 |