18 citations · 65 across the 31 of their papers we have counts for
7 papers · 1 filter
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli, Eckhard Platen
In this paper we show how to hedge a zero coupon bond with a smaller amount of initial capital than required by the classical risk neutral paradigm, whose (trivial) hedging strateg…
Local Risk-Minimization under the Benchmark Approach
Francesca Biagini, Alessandra Cretarola, Eckhard Platen
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which wi…
The Small and Large Time Implied Volatilities in the Minimal Market Model
Zhi Guo, Eckhard Platen
This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on th…
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a Volatility Model
Leunglung Chan, Eckhard Platen
This paper investigates the pricing and hedging of variance swaps under a volatility model. Explicit pricing and hedging formulas of variance swaps are obtained under the ben…
On the Dybvig-Ingersoll-Ross Theorem
Constantinos Kardaras, Eckhard Platen
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the…