Pricing variable annuity guarantees in a local volatility framework
Griselda Deelstra; Grégory Rayée
| Year of publication: |
2013
|
|---|---|
| Authors: | Deelstra, Griselda ; Rayée, Grégory |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 650-663
|
| Subject: | Local volatility | Variable Annuity Guarantees | Stochastic interest rates | Volatilität | Volatility | Zins | Interest rate | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Optionspreistheorie | Option pricing theory | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Black-Scholes-Modell | Black-Scholes model | Kapitaleinkommen | Capital income |
| 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://www.econbiz.de/10010227910