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  • Search: subject:"Alternating Direction Implicit methods"
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Alternating Direction Implicit methods 1 Prepayment Models 1 Surrender Option 1
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Book / Working Paper 1
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Undetermined 1
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De Giovanni, Domenico 1
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Ehrvervøkonomisk Institut, Institut for Økonomi 1
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Finance Research Group Working Papers 1
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Lapse Rate Modeling: A Rational Expectation Approach
De Giovanni, Domenico - Ehrvervøkonomisk Institut, Institut for Økonomi - 2007
Lapse Rate Modeling: A Rational Expectation Approach Abstract The surrender option embedded in many life insurance products is a clause that allows policyholders to terminate the contract early. Pricing techniques based on the American Contingent Claim (ACC) theory are often used, though the...
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