"Jinchengli"Equity Linked Policy Model with Jump Diffusion

Abstract:

In the risk-neutral environment,a mathematical model is set up for one kind of equity-linked policy with jump diffusion.With the fundamental solution to the differential equation,the explicit formula for the equity-linked policy without jump diffusion is obtained.On the other hand,the boundary of jump diffusion is addressed with the character of fundamental solution.With the operator split iteration method,the numerical conclusion under the jump-diffusion situation is achieved.