5 papers
Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts
Andrea Molent, Marcellino Gaudenzi
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and…
The Life Care Annuity: enhancing product features and refining pricing methods
G. Apicella, A. Molent, M. Gaudenzi
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Ben…
The dynamics of the prices of the companies of the STOXX Europe 600 Index through the logit model and neural network
Federico Mecchia, Marcellino Gaudenzi
The aim of the present work is analysing and understanding the dynamics of the prices of companies, depending on whether they are included or excluded from the STOXX Europe 600 Ind…
Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences
Marcellino Gaudenzi, Michel Vellekoop
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that opti…
Efficient European and American option pricing under a jump-diffusion process
Marcellino Gaudenzi, Alice Spangaro, Patrizia Stucchi
When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option…