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Willow Tree Algorithms for Pricing Guaranteed Minimum Withdrawal Benefits Under Jump-Diffusion and CEV Models

Dong, Bing - 2019

This paper presents the willow tree algorithms for pricing variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB), where the underlying fund dynamics evolve under the Merton jump-diffusion process or constant-elasticity-of-variance (CEV) process. The GMWB rider gives the...

Persistent link: https://www.econbiz.de/10012898983

A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk

Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54

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Pricing American options by Willow Tree method under jump-diffusion process

Xu, Wei; Yin, Yufang - In: The journal of derivatives : the official publication … 22 (2014) 1, pp. 46-56

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Cosine willow tree structure under Lévy processes with application to pricing variance derivatives

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Price of climate risk hedging under uncertainty

Rubtsov, Alexey; Xu, Wei; Šević, Aleksandar; Šević, … - In: Technological forecasting & social change : an … 165 (2021), pp. 1-10

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Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

Dong, Bing; Xu, Wei; Kwok, Yue-Kuen - In: Quantitative finance 19 (2019) 10, pp. 1741-1761

Persistent link: https://www.econbiz.de/10012194821

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Ma, Changfu; Xu, Wei; Yuan, George - In: Quantitative finance 20 (2020) 12, pp. 2037-2053

Persistent link: https://www.econbiz.de/10012313551

Efficient willow tree method for variable annuities valuation and risk management

Dong, Bing; Xu, Wei; Šević, Aleksandar; Šević, Željko - In: International review of financial analysis 68 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012301004

Willow tree algorithms for pricing VIX derivatives under stochastic volatility models

Ma, Changfu; Xu, Wei; Kwok, Yue-Kuen - In: International journal of financial engineering 7 (2020) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012602678

Risk-based capital for variable annuity under stochastic interest rate

Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999

Persistent link: https://www.econbiz.de/10012307392