Open Access
2014 Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model
Lin Xu, Guangjun Shen, Dingjun Yao
Abstr. Appl. Anal. 2014(SI35): 1-9 (2014). DOI: 10.1155/2014/380718


Fractional Brownian motion with Hurst exponent H ( 1 / 2 , 1 ) is a good candidate for modeling financial time series with long-range dependence and self-similarity. The main purpose of this paper is to address the valuation of equity indexed annuity (EIA) designs under the market driven by fractional Brownian motion. As a result, this paper presents an explicit pricing expression for point-to-point EIA design and bounds for the pricing of high-water-marked EIA design. Some numerical examples are given to illustrate the impact of the parameters involved in the pricing problems.


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Lin Xu. Guangjun Shen. Dingjun Yao. "Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model." Abstr. Appl. Anal. 2014 (SI35) 1 - 9, 2014.


Published: 2014
First available in Project Euclid: 6 October 2014

zbMATH: 07022267
MathSciNet: MR3200780
Digital Object Identifier: 10.1155/2014/380718

Rights: Copyright © 2014 Hindawi

Vol.2014 • No. SI35 • 2014
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