Pricing of Equity Indexed Annuity under Fractional Brownian Motion Model

Figure 2

Comparison pricing 𝑃_𝛼 as a function of 𝑇 given 𝜎=20%, 𝑟=5%, 𝛿=2%, and 𝐾=0.9𝑒^0.03𝑇, for 𝛼=0.6,0.9, respectively.