Pricing equity-indexed annuities with path-dependent options

Insurance: Mathematics and Economics

Volumn 33, Issue 3, 2003, Pages 677-690

  Lee, Hangsuck ^a  

^a Soongsil University   (South Korea)

Author keywords

Equity indexed annuities; Esscher transforms; Indexing method; Option; Participation rate; Pricing

Indexed keywords

EID: 0345375505     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2003.09.006     Document Type: Article

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