42 citations · 163 across the 14 of their papers we have counts for
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q-fin.PR2015
Valuation of capital protection options
Xiaolin Luo, Pavel V. Shevchenko
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market gro…
q-fin.PR2015★ 1 cited
Variable Annuity with GMWB: surrender or not, that is the question
Xiaolin Luo, Pavel Shevchenko
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control proble…