This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guaranteed value at the maturity of the option. The contract valuation is dependent on the stochastic...

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...

We present a numerical approach to the pricing of guaranteed minimum maturity benefits embedded in variable annuity contracts in the case where the guarantees can be surrendered at any time prior to maturity that improves on current approaches. Surrender charges are important in practice and are...

We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston's stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327–343, 1993). We solve the Kolmogorov partial differential equation associated with...

A numerical technique for the evaluation of American spread call options where the underlying asset dynamics evolve under the influence of a single stochastic variance process of the Heston (1993) type is presented. The numerical algorithm involves extending to the multi-dimensional setting the...

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes of the Heston (1993) type. We derive the associated partial differential equation (PDE) of the option price using hedging...

This paper extends the integral transform approach of McKean (1965) and Chiarella and Ziogas (2005) to the pricing of American options written on more than one underlying asset under the Black and Scholes (1973) framework. A bivariate transition density function of the two underlying stochastic...

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs (2009). We consider the associated partial differential equation (PDE)...