4 papers
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Zhenyu Cui, Anne MacKay, Marie-Claude Vachon
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, -Hypergeometric, $3…
Explicit solution simulation method for the 3/2 model
Iro René Kouarfate, Michael A. Kouritzin, Anne MacKay
An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm for option pricing purposes. The 3/2 model is a non-affine…
Branching Particle Pricers with Heston Examples
Michael A. Kouritzin, Anne MacKay
The use of sequential Monte Carlo within simulation for path-dependent option pricing is proposed and evaluated. Recently, it was shown that explicit solutions and importance sampl…
VIX-linked fees for GMWBs via Explicit Solution Simulation Methods
Michael A. Kouritzin, Anne MacKay
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal…