Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion |
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| Authors: | Linyi Qian Rongming Wang Qian Zhao |
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| Institution: | 1. School of Finance and Statistics, East China Normal University, Shanghai, PR China;2. Research Center of International Finance and Risk Management, East China Normal University, Shanghai, PR China |
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| Abstract: | This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate. |
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| Keywords: | Compound poisson process Stochastic interest rate Equity-indexed annuity |
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