Valuation of Insurance Products with Shout Options in a Jump-Diffusion Model

Table 1

The value of insurance product for different grids (parameters used: ).

4.0	5.0	6.0	7.0	8.0
30 20 grids
0.6	0.0080	0.0003	0.0001	0.0000	0.0000
1.8	1.6261	1.2100	0.8349	0.5112	0.2534
3.0	6.0000	5.0000	4.0000	3.0000	2.0000
58 38 grids
0.6	0.0005	0.0002	0.0001	0.0000	0.0000
1.8	1.5519	1.1500	0.7891	0.4796	0.2353
3.0	6.0000	5.0000	4.0000	3.0000	2.0000
114 74 grids
0.6	0.0003	0.0002	0.0000	0.0000	0.0000
1.8	1.4287	1.0420	0.7423	0.5687	0.2845
3.0	6.0000	5.0000	4.0000	3.0000	2.0000
226 146 grids
0.6	0.0002	0.0001	0.0000	0.0000	0.0000
1.8	1.3226	1.0235	0.6879	0.4465	0.2431
3.0	6.0000	5.0000	4.0000	3.0000	2.0000
450 220 grids
0.6	0.0001	0.0001	0.0000	0.0000	0.0000
1.8	1.2431	1.0124	0.5984	0.3871	0.1259
3.0	6.0000	5.0000	4.0000	3.0000	2.0000