The computation of the fair periodical premiums for equity-linked policies in a Cox-Ross-Rubinstein (CRR) [Cox, J.C., et al., 1979. Option pricing: A simplified approach. J. Financial Economics 7, 229-263] evaluation framework is computationally complex. In fact, despite we assume that the...

We tackle the problem of computing fair periodical premiums of an equity-linked policy with a maturity guarantee and an embedded surrender option. We consider the policy as a Bermudan-style contingent claim that can be exercised at the premium payment dates. The evaluation framework is based on...