Fractional Brownian motion with Hurst exponent 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.
Lin Xu. Guangjun Shen. Dingjun Yao. "Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model." Abstr. Appl. Anal. 2014 (SI35) 1 - 9, 2014. https://doi.org/10.1155/2014/380718