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Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
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A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino - In: IMA journal of management mathematics 26 (2015) 4, pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334