Pricing variable annuity guarantees in a local volatility framework (Q2015631): Difference between revisions

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+Valuation of guaranteed annuity conversion options.
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+The fair value of guaranteed annuity options
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+Guaranteed Annuity Options
@@ Property / cites work: Guaranteed Annuity Options / rank @@
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+VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
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+Changes of numéraire, changes of probability measure and option pricing
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Q5480304
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Mortality derivatives and the option to annuitise.
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+Pricing and hedging guaranteed annuity options via static option replication.
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+Pricing rate of return guarantees in regular premium unit linked insurance
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+Q3592129
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+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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+Stochastic calculus for finance. II: Continuous-time models.
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+Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
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+Q3594586
@@ Property / cites work: Q3594586 / rank @@
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