From valuing equity-linked death benefits to pricing American options
Motivated by the Guaranteed Minimum Death Benefits (GMDB) in variable annuities, we are interested in valuing equity-linked options whose expiry date is the time of the death of the policyholder. Because the time-until-death distribution can be approximated by linear combinations of exponential dist...
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| Language: | English |
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University of Iowa
2017
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| Online Access: | https://ir.uiowa.edu/etd/5690 https://ir.uiowa.edu/cgi/viewcontent.cgi?article=7170&context=etd |