Discrete time models play a crucial role both in finance and insurance for pricing path-dependent financial derivatives and for evaluating the premiums of insurance products when explicit formulas are not available. In particular, this book is devoted to propose lattice-based models for pricing Asian options, arithmetic period-average reset options, and for evaluating the fair single and periodical premiums of equity-linked life insurance policies with or without embedded surrender options. In a lattice framework, the common feature of these evaluation problems is the huge computational complexity. The proposed approximation models reduce the problem computational complexity and allow to obtain accurate results with respect to the other existing pricing models. The focus on these financial and insurance products is motivated by their increasing importance in financial and insurance markets. Indeed, market operators require new products that can better customize their requirements. As a consequence, new more complex financial products have been created and innovations and additional characteristics have been introduced in derivative and insurance contracts.

Path-dependent contingent claims and insurance policies

RUSSO, EMILIO
2012

Abstract

Discrete time models play a crucial role both in finance and insurance for pricing path-dependent financial derivatives and for evaluating the premiums of insurance products when explicit formulas are not available. In particular, this book is devoted to propose lattice-based models for pricing Asian options, arithmetic period-average reset options, and for evaluating the fair single and periodical premiums of equity-linked life insurance policies with or without embedded surrender options. In a lattice framework, the common feature of these evaluation problems is the huge computational complexity. The proposed approximation models reduce the problem computational complexity and allow to obtain accurate results with respect to the other existing pricing models. The focus on these financial and insurance products is motivated by their increasing importance in financial and insurance markets. Indeed, market operators require new products that can better customize their requirements. As a consequence, new more complex financial products have been created and innovations and additional characteristics have been introduced in derivative and insurance contracts.
978-3847347033
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11770/181485
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