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...

We consider the finite-time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm's asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric...

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...

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

Repricing of an employee stock option refers to the practice of lowering the strike price and /or extending the maturity date of a previously granted employee stock option. Normally, firms reprice after a period of significant stock price decline that renders the employee stock options deeply...

We consider the finite time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric...