讲座简介：

We consider the valuation problem of Guaranteed Minimum Death Benefits in various equity-linked products. We are interested in modeling the stock price as the exponential of a Brownian motion plus an independent compound Poisson process. Results for exponential stopping of a Levy process are used to derive a series of closed-form formulas for a variety of contingent call and put options, lookback options, and barrier options with one or two barriers. In the special case of the geometric Brownian motion stock-price model, formulas for one- and two-barrier options are derived that hold for arbitrary time-of-death distributions.

主讲人简介：

http://www.saasweb.hku.hk/staff/hlyang/