Valuing rebate options and equity-linked products

扫码查看

原文链接

NETL
NSTL
Elsevier

外文摘要：© 2023 Elsevier Inc.In this article, we propose rebate options with multi-step barriers, which are an extension of rebate options with a constant barrier. Despite the applicability and marketability of rebate options, there have been only a few research on obtaining analytical formulas. Accordingly, in this paper, we derive closed-form pricing formulas for these options under the Black–Scholes framework. The rebate options with multi-step barriers allow a flexible barrier structure, and thus we propose complex equity-linked products embedded with rebate options with barriers and derive pricing formulas for them. We conduct numerical studies on the pricing of rebate options with multi-step barriers, equity-linked securities, and equity-indexed annuities. The numerical studies validate the prices obtained from the pricing formulas.

外文关键词：

Equity-indexed annuitiesEquity-linked securitiesMulti-step reflection principleRebate optionsReflection principle

作者：

Lee H.、Jeong H.、Lee G.

展开 >

作者单位：

Department of Mathematics/Actuarial Science Sungkyunkwan University

Department of Statistics and Actuarial science Simon Fraser University

Institute of Basic Science Sungkyunkwan University

出版年：

2023

DOI：

10.1016/j.najef.2023.101968

The North American journal of economics and finance

ISSN：1062-9408

年,卷(期)：2023.68(Sep.)

参考文献量35