Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Alexander van Haastrecht; Richard Plat; Antoon Pelsser
| Year of publication: |
2010
|
|---|---|
| Authors: | van Haastrecht, Alexander ; Plat, Richard ; Pelsser, Antoon André Jean |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 47.2010, 3, p. 266-277
|
| Subject: | Kapitaleinkommen | Capital income | Altersvorsorge | Retirement provision | Lebensversicherung | Life insurance | OECD-Staaten | OECD countries | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| 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/10008747073