Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Bing Dong, Wei Xu and Yue Kuen Kwok
| Year of publication: |
2019
|
|---|---|
| Authors: | Dong, Bing ; Xu, Wei ; Kwok, Yue-Kuen |
| Subject: | Dynamic withdrawal strategies | GMWB | Hedging strategies | Willow tree scheme | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1583360 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194821