Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model

The insurance product with shout options which permit the holders to modify the contract rules is one of the most popular products in European and American markets today. Therefore, it is of great significance to price more precisely. A new mathematical model consisting of a partial differential ine...

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Veröffentlicht in:	Mathematical problems in engineering 2021-12, Vol.2021, p.1-10
Hauptverfasser:	Liu, Jun, Liang, Zhian
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Diffusion Engineering Impact analysis Insurance Mathematical models Monte Carlo simulation Put & call options Random variables Valuation Volatility
Online-Zugang:	Volltext
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