In this paper, we study the fair fee of a flexible premium variable annuity (FPVA), in which the policyholder can choose to pay periodic premiums during the accumulation phase instead of a single initial premium. We are able to express fair fees using a fast and accurate approximation based on...

This work introduces two new financial derivatives into the finance literature. The first is the Return Barrier Option, which has emerged recently as a popular contract in the OTC markets. This contract is similar to a barrier option, but the knock-out event depends on an asset's returns, rather...

The variance risk premium (VRP) reflects the degree of risk aversion of investors and the overestimation of the probability of extreme losses. We examine a variety of variance risk premiums, including both the upside and downside variance risk premiums, in the Chinese stock market. We find that...