Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
| Year of publication: |
2021
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|---|---|
| Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonino |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 1, p. 57-72
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| Subject: | GMWB pricing | Heston-Hull-White model | Numerical method | Machine learning | Gaussian process regression | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zins | Interest rate | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Gauß-Prozess | Gaussian process | Künstliche Intelligenz | Artificial intelligence |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-020-00287-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012587815