Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation ofthe expected discounted value of a payment at the time of death. The payment depends on the price of a stock at thattime and possibly also on the history of the stock price. If the payment turns out to be the payoff of an option,we ...
Yang, Hailiang (University of Hong Kong)
University of Minnesota, Institute for Mathematics and its Applications.