Calculating variable annuity liability "Greeks" using Monte Carlo simulation
By Mark J. Cathcart, Hsiao Yen Lok, Alexander J. McNeil and Steven Morrison
| Year of publication: |
2015
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|---|---|
| Authors: | Cathcart, Mark J. ; Lok, Hsiao Yen ; McNeil, Alexander J. ; Morrison, Steven |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 2, p. 239-266
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| Subject: | Stochastic simulation | Monte Carlo estimation | variable annuity | Greeks | sensitivities | Heston stochastic volatility model | pathwise method | likelihood-ratio method | stochastic interest rates | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Simulation | Griechenland | Greece | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Zins | Interest rate | Finanzmathematik | Mathematical finance | Private Altersvorsorge | Private retirement provision |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011312287