Pricing the Option to Surrender in Incomplete Markets
针对新国际会计准则要求，提出一个在不完全市场中为保险产品内含退保期权及其他嵌入式期权定价的框架，并给出对冲组合以管理风险。
New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black and Scholes paradigm are often used; however, the hypotheses underneath this model are rarely met. We propose a framework that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis to highlight the effect of incompleteness on the fair value of the option.