Guaranteed Annuity Options are options providing the right to convert a policyholder's accumulated funds to a life annuity at a fixed rate when the policy matures. These options were a common feature in UK retirement savings contracts issued in the 1970's and 1980's when interest rates were...

We deal with discretization schemes for the simulation of the Heston stochastic volatility model. These simulation methods yield a popular and flexible pricing alternative for pricing and managing a book of exotic derivatives which cannot be valued using closed-form expressions. For the Heston...