Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
Work
Year: 2010
Type: article
Abstract: In this paper we propose a new method for approximating the price of arithmetic Asian options in a Variance-Gamma (VG) economy, which is then applied to the problem of pricing equityindexed annuity c... more
Source: North American Actuarial Journal
Author Laura Ballotta
Institution London School of Business and Finance
Cites: 18
Cited by: 17
Related to: 10
FWCI: 0.545
Citation percentile (by year/subfield): 88.09
Subfield: Finance
Domain: Social Sciences
Open Access status: green