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math.PR2019
Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
Adriana Ocejo
In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give…
q-fin.PR2019★ 1 cited
Assessing Guaranteed Minimum Income Benefits and Rationality of Exercising Reset Options in Variable
Riley Jones, Adriana Ocejo
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return…