Deelstra, Griselda; Rayée, Grégory - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 650-663
In this paper, we study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...
