A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
Paolo De Angelis, Roberto De Marchis, Antonio L. Martire, Emilio Russo
| Year of publication: |
2022
|
|---|---|
| Authors: | De Angelis, Paolo ; De Marchis, Roberto ; Martire, Antonio L. ; Russo, Emilio |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 415-446
|
| Subject: | Binomial algorithm | Bivariate lattice | Discrete dividends | Guaranteed minimum withdrawal benefit | Surrender option | Variable annuity | Dividende | Dividend | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | CAPM | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-022-00371-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013380577