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- W748272486 abstract "We study discrete-time models in which death benefits can depend on a stock price index, the logarithm of which is modeled as a random walk. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it suffices to consider curtate-future-lifetimes with a geometric distribution. In binomial and trinomial tree models, closed-form expressions for the expectations of the discounted benefit payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener–Hopf factorization." @default.
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- W748272486 date "2015-09-01" @default.
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- W748272486 title "Geometric stopping of a random walk and its applications to valuing equity-linked death benefits" @default.
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- W748272486 doi "https://doi.org/10.1016/j.insmatheco.2015.06.006" @default.
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