Abstract
This thesis is motivated by the need to value equity-linked death benefit contracts for an individual under a stock portfolio, using a dependent vector of the geometric Brownian motion for “stock price process 𝐾𝑛 distribution” to model time until death distribution. The thesis provides the derivation of closed-form expressions for in-the-money and at-the-money options, as well as numerical illustrations, based on the explicit formulas for the discounted payment expectation “of the guaranteed minimum death” benefits. Numerical analysis and illustrations are done on the at-the-money put option and the out-of-the-money call option, and the results are aligned with the existing body of work in this field of study.