We derive a new, efficient closed-form formula approximating the price of discrete look-back options, whose underlying asset price is driven by an exponential semi-martingale process including (jump) diffusions, Levy models, affine processes and other models. The derivation of our pricing...

An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data, modeling and forecasting can take place in two routes. On the one hand, we can first truncate the available data to retiree ages and then produce mortality forecasts based on a...

Purpose: Although it has been proved theoretically that annuities can provide optimal consumption during one’s retirement period, retirees’ reluctance to purchase annuities is a long-standing puzzle. The purpose of this paper is to use behavioral model to analyze the low demand for...