Abstract:
insurance contract with minimum death guarantee is a contingent claim which implies that a hedging argument
can be used to determine the price. In this case, the guarantee strike price does not depend on the current time
inal cash flow of a European put option
and we end up with a Black-Scholes like put pricing formula. In this paper, we extend the work of Frantz et al.
(2003) by relaxing the assumption that volatility is constant.