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The asymmetric relationship between returns and implied higher moments : evidence from the crude oil market

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Intraday return predictability in the cryptocurrency markets : momentum, reversal, or both

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Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks

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Cross-asset time-series momentum : crude oil volatility and global stock markets

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Valuing Variable Annuity Guarantees on Multiple Assets

Ziveyi, Jonathan - 2015

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the...

Persistent link: https://www.econbiz.de/10013011325