Upon the exercise of an employee stock option, the embedded reload provision entitles the holder to receive additional units of new options from the employer. The number of units of new options received is equal to the number of shares tendered as payment of strike and the new strike is set at...

We consider the pricing of variable annuities with the Guaranteed Minimum Withdrawal Benefit (GMWB) under the Vasicek stochastic interest rate framework. The holder of the variable annuity contract pays an initial purchase payment to the insurance company, which is then invested in a portfolio...

The main results of this paper are the derivation of the distribution functions of occupation times under the constant elasticity of variance process. The distribution functions can then be used to price α-quantile options. We also derive the fixed-floating symmetry relation for α-quantile...