Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Ludovic Goudenege, Andrea Molent, Antonino Zanette
| Year of publication: |
2019
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|---|---|
| Authors: | Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 217-248
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| Subject: | Varibles annuities | GMWB 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 ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993464