Equity-Indexed Annuities (EIAs) are deferred annuities which accumulate value over time according to crediting formulas and realized equity index returns. We propose an efficient algorithm to value two popular crediting formulas found in EIAs - Annual Point-to-Point (APP) and Monthly...

We find that the leverage factors of leveraged and inverse exchange traded funds can effect the "crookedness"' of volatility smiles. We model leveraged and inverse ETF option prices using partial differential equations (PDEs) and determine closed-form solutions for the option values following...