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q-fin.CP2026
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…
q-fin.CP2024
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…
q-fin.CP2017
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…