Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
Sign Up to like & getrecommendations! Published in 2017 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1288297
Abstract: Option pricing and managing equity linked insurance (ELI) require the proper modeling of stock return dynamics. Due to the long duration nature of equity-linked insurance products, a stock return model must be able to deal… read more here.
Keywords: equity linked; equity; regime switching; linked insurance ... See more keywords
Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/9763065
Abstract: In this study, we model the returns of a stock index using various parametric distribution models. There are four indices used in this study: HSCEI, KOSPI 200, S&P 500, and EURO STOXX 50. We applied… read more here.
Keywords: equity linked; risk; risk analysis; parametric distributions ... See more keywords