A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options

2015 ◽  
Vol 36 (9) ◽  
pp. 887-901 ◽  
Author(s):  
Lung-Fu Chang ◽  
Jia-Hau Guo ◽  
Mao-Wei Hung
Keyword(s):  
Integration Method ◽  
American Options ◽  
Recursive Integration

scholarly journals Pricing and Hedging American Options: A Recursive Integration Method

1996 ◽  
Vol 9 (1) ◽  
pp. 277-300 ◽  
Author(s):  
Jing-zhi Huang ◽  
Marti G. Subrahmanyam ◽  
G. George Yu
Keyword(s):  
Integration Method ◽  
American Options ◽  
Recursive Integration

scholarly journals A variational inequality arising from optimal surrender of variable annuity with lookback benefit

2022 ◽  
Vol 2022 (1) ◽  
Author(s):  
Junkee Jeon ◽  
Minsuk Kwak
Keyword(s):  
Variational Inequality ◽  
Value Function ◽  
Numerical Solutions ◽  
Integration Method ◽  
Comparative Statics ◽  
One Dimensional ◽  
Math Econ ◽  
The One ◽  
Recursive Integration ◽  
The Value Function

AbstractWe introduce a variable annuity (VA) contract with a surrender option and lookback benefit, that is, the benefit of the VA contract is linked to the maximum process of the policyholder’s account value. In contrast to the constant guarantee model provided in Bernard et al. (Insur. Math. Econ. 55:116–128, 2014), it is optimal for the policyholder of the VA contract with lookback benefit to surrender the VA contract when the policyholder’s account value is below or equal to the optimal surrender boundary. Thus, from the perspective of the insurer to construct a portfolio of VA contracts, utilizing the VA contracts with lookback benefit along with VA contracts with constant guarantee provides the diversification of early surrenders. The valuation of this contract can be described as a two-dimensional parabolic variational inequality. By converting this into the one-dimensional problem, we obtain the integral equations for the value function and the free boundary. The recursive integration method is applied to obtain the numerical solutions. We also provide comparative statics of the optimal surrender boundaries with respect to various parameters.

Features of Integration and Metaintegration in American Region

2019 ◽  
pp. 58-64
Keyword(s):  
Integration Method ◽  
South American ◽  
Legal Systems ◽  
Policy Integration ◽  
American Continent ◽  
Member States ◽  
The Creation ◽  
South American Continent ◽  
Andean Community ◽  
American Region

The analysis of integration of the legal systems of states in the American region is held. In the Southern subregion, a combination of integration and disintegration in cooperation of states led to the creation of two integration entities – MERCOSUR and the Andean Community (AC), in the Northern subregion – NAFTA. The author concludes that the convergence on the American continent, especially using the integration method, helped to implement a special scenario in the southern part of this continent – the meta-integration scenario, with the creation of the Union of South American Nations, uniting the Andean Community and MERCOSUR – something resembling a European one, but at the same time different from it. UNASUR is an effective mechanism for bringing together and integrating the states of the South American continent. Within this Union with notable leadership of Brazil and Argentina the first steps in the direction of the foreign policy integration of the member states are traced. In terms of economic integration, the Union uses the achievements of the AC and MERCOSUR, unifying the legal regulators in the economic sphere and bringing rapprochement to the legal systems of the member states.

Sign in / Sign up

Export Citation Format

Share Document