Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
| Year of publication: |
September 2016
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|---|---|
| Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonio |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 38-57
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| Subject: | Variable annuities | GLWB pricing | Stochastic volatility | Stochastic interest rate | Optimal withdrawal | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Volatilität | Volatility | Zinsstruktur | Yield curve | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597137