Dynamic Fund Protection

North American Actuarial Journal

Volumn 5, Issue 3, 2001, Pages 31-47

  Imai, Junichi ^a   Boyle, Phelim P ^b  

^a IWATE PREFECTURAL UNIVERSITY   (Japan)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011139827     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2001.10595996     Document Type: Article

References (32)

1. ANDERSEN, L., and J. ANDREASEN. 1998. "Volatility Skews and Extensions of the Libor Market Model." Working paper, General Re Financial Products.
2. ANDERSEN, L., and R. BROTHERTON-RATCLIFFE. 1996. "Exact Exotics." Risk 9(10): 85-9.
3. ANDERSEN, L., and P. P. BOYLE. 1999. "Monte Carlo Methods for the Valuation of Interest Rate Securities." In Advanced Fixed Income Tools, ed. N. Jegadeesh and B. Tuckerman. New York: John Wiley and Sons.
4. BAKSHI, G., C. CAO, and Z. CHEN. 1997. "Empirical Performance of Alternative Option Pricing Models." Journal of Finance 52: 2003-49.
5. BAKSHI, G., C. CAO, and Z. CHEN. 2000. "Pricing and Hedging Long Term Options." Journal of Econometrics 94: 277-318.
6. BOYLE, P. P., M. BROADIE, and P. GLASSERMAN. 1997. "Monte Carlo Methods for Security Pricing." Journal of Economics Dynamics and Control 21: 1267-1321.
7. BOYLE, P. P., and M. R. HARDY. 1996. "Reserving for Maturity Guarantees." Working Paper, University of Waterloo.
8. BOYLE, P. P., and M. R. HARDY. 1998. "Reserving for Maturity Guarantees: Two Approaches." Insurance: Mathematics and Economics 21: 113-27.
9. BOYLE, P. P., and Y. S. TIAN. 1999. "Pricing Lookback and Barrier Options under the CEV Process." Journal of Financial and Quantitative Analysis 34(2): 241-65.
10. BROADIE, M., P. GLASSERMAN, and S. KOU. 1999. "Connecting Discrete and Continuous Path-Dependent Options." Finance and Stochastics 3: 55-82.
11. CHERNOV, M., A. R. GALLANT, E. GHYSELS, and G. TAUCHEN. 2001. "Alternative Models for Stock Price Dynamics." Working Paper, University of North Carolina.
12. COX, D. R., and H. MILLER. 1965. The Theory of Stochastic Processes. London: Chapman and Hall. Reprinted in 1995.
13. COX, J. C. 1975. "Notes on Option Pricing I: Constant Elasticity of Variance Diffusions." Unpublished Working Paper, Graduate School of Business, Stanford University.
14. COX, J. C. 1996. "The Constant Elasticity of Variance Option Pricing Model." Journal of Portfolio Management (special issue in honor of Fischer Black) 22: 15-17.
15. DAVYDOV, D., and V. LINETSKY. 2001. "Pricing and Hedging Path Dependent Options under the CEV Process." Management Science, in press.
16. EMANUEL, D. C., and J. D. MACBETH 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Models." Journal of Financial and Quantitative Anaysis 17: 533-54.
17. FALLOON, W. 1999. "Canada's Option Nightmare." Risk (August): 6.
18. FORSYTH, P. A., K. R. VETZAL, and R. ZVAN. 1999. "A Finite Element Approach to the Pricing of Discrete Lookbacks with Stochastic Volatility." Applied Mathematical Finance 6: 87-106.
19. GERBER, H. U., and G. PAFUMI. 2000. "Pricing Dynamic Investment Fund Protection." North American Actuarial Journal 4(2): 28-41. Discussion: 5(1) (2001): 153-57.
20. GERBER, H. U., and E. S. W. SHIU. 1998. "Pricing Perpetual Options for Jump Processes." North American Actuarial Journal 2(3): 101-12.
21. GERBER, H. U., and E. S. W. SHIU. 1999. "From Ruin Theory to Pricing Reset Guarantees and Perpetual Put Options." Insurance: Mathematics and Economics 24(1): 3-14.
22. HARDY, M. R. 1999a. "Stock Return Models for Segregated Fund Guarantees." Working Paper, University of Waterloo.
23. HARDY, M. R. 1999b. "Maturity Guarantees for Segregated Fund Guarantees: Hedging and Reserving." Paper presented at the symposium Risks in Investment Accumulation Products, New York, sponsored by The Actuarial Research Foundation and Nationwide Financial Services.
24. HARDY, M. R. 2001. Investment Guarantees in Insurance: Modeling and Financial Management. Schaumburg, IL: Society of Actuaries. Forthcoming.
25. HARRISON, J. M., and D. M. KREPS. 1979. "Martingales and Arbitrage in Multiperiod Securities Markets." Journal of Economic Theory 20: 381-408.
26. HARRISON, J. M., and S. R. PLISKA. 1981. "Martingales and Stochastic Integrals in the Theory of Continuous Trading." Stochastic Processes and Their Applications 11: 215-60.
27. MACBETH, J. D., and J. L. MERVILLE. 1980. "Tests of the Black-Scholes and Cox Call Option Valuation Models." Journal of Finance 35: 285-301.
28. MORTON, K. W., and D. F. MAYERS. 1994. Numerical Solution of Partial Differential Equations. Cambridge: Cambridge University Press.
29. TASK FORCE REPORT. 2000. Report of the Canadian Institute of Actuaries Task Force on Segregated Fund Investment Guarantees. Online at http://www.actuaries.ca/publications/2000/20020e.pdf.
30. TIONG, S. 2000. "Valuing Equity-Indexed Annuities." North American Actuarial Journal 4(4): 149-70.
31. WILMOTT, P., J. DEWYNNE, and S. HOWISON. 1993. Option Pricing: Mathematical Model and Computation. Oxford: Oxford Financial Press.
32. ZVAN, R., and P. P. BOYLE. 2000. "Pricing Lookback Options under the CEV Process: A Finite Element Approach." Working Paper, University of Waterloo.