The Chicago Board of Options Exchange (CBOE) advocates linking variable annuity (VA) fees to its trademark VIX index in a white paper (CBOE, 2013a, b). It claims that the VIX-linked fee structure has several advantages over the traditional fixed percentage fee structure. However, the evidence...

An exchange option, also called “Margrabe option”, gives the right, but not the obligation to exchange an asset for another asset. In a recent paper in the Encyclopedia of Quantitative Finance (2010), Professor Rolf Poulsen writes that “[t]he Margrabe formula is still valid with stochastic...

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...