Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
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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