Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...

This article discusses a simple, fast and accurate closed-form solution for European options and forwards on a stock with discrete, fixed-amount dividends, and robust w.r.t. a wide range of inputs. While many various precise expansion approaches exist, we are looking for a simple, easy to...

In this paper, we provide a new framework for stock and options valuations by characterizing the joint dynamics of stock price, dividends, and volatility with the volatility feedback effect in continuous-time. Within our framework, we consider the properties of stock price and its dynamics with...