Valuing variable annuity guarantees with the multivariate Esscher transform

Option pricing by Esscher transforms.

Hans U. Gerber, Shiu E.S.W. · IRIS · 1995 · 660 citations

Business, Finance, Mathematics +8

A Regime-Switching Model of Long-Term Stock Returns

Mary R. Hardy · North American Actuarial Journal · 2001 · 446 citations

Business, Finance, Insurance +17

Option pricing and Esscher transform under regime switching

Robert J. Elliott, Leunglung Chan, Tak Kuen Siu · Annals of Finance · 2005 · 428 citations

Business, Decision Sciences, Stochastic Processes +8

Financial valuation of guaranteed minimum withdrawal benefits

Moshe A. Milevsky, Thomas S. Salisbury · Insurance Mathematics and Economics · 2005 · 271 citations

Business, Economics, Finance +8

Pricing and hedging long-term options

Gurdip Bakshi, Charles Cao, Zhiwu Chen · Journal of Econometrics · 2000 · 263 citations

Business, Economics, Finance +17