42 citations · 163 across the 14 of their papers we have counts for
5 papers · 1 filter
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization
Xiaolin Luo, Pavel V. Shevchenko
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under op…
Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation
Xiaolin Luo, Pavel V. Shevchenko
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the u…
Pricing TARN Using a Finite Difference Method
Xiaolin Luo, Pavel Shevchenko
Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference…
Bayesian Model Choice of Grouped t-copula
Xiaolin Luo, Pavel V. Shevchenko
One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a…
Computing Tails of Compound Distributions Using Direct Numerical Integration
Xiaolin Luo, Pavel V. Shevchenko
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (CVaR) of compound distributions using ch…