Some properties of a class of path-dependent options based on the α-quantiles of Brownian motion are discussed. In particular, it is shown that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options.

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

<section xml:id="fut21647-sec-0001"> We present a joint Monte Carlo‐Fourier transform sampling scheme for pricing derivative products under a Carr–Geman–Madan–Yor (CGMY) model (Carr et al. [Journal of Business, 75, 305–332, 2002]) exhibiting jumps of infinite activity and finite or infinite variation. The approach relies...</section>

Some researchers have raised concerns about significant volatility in initial payments from fixed immediate life annuities and the subsequent inflation risk during the retirement period. This paper investigates these concerns using recent high frequency data. It finds that while there is...

The purpose of the article is to apply contingent claim theory to the valuation of the type of participating life insurance policies commonly sold in the UK. The article extends the techniques developed by Haberman, Ballotta, and Wang (2003) to allow for the default option. The default option is...

The aim of this paper is to provide an assessment of alternative frameworks for the valuation of participating contracts with minimum guarantee, in terms of impact on the market consistent price of the contracts and the options embedded therein, and on the capital requirements for the insurer....