Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704): Difference between revisions

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+Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
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+Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+Semi-static hedging of variable annuities
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+Optimal surrender policy for variable annuity guarantees
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+The Pricing of Options and Corporate Liabilities
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+THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Hedging guarantees in variable annuities under both equity and interest rate risks
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+A binomial model for valuing equity-linked policies embedding surrender options
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+A Theory of the Term Structure of Interest Rates
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+Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
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+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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+On the Heston Model with Stochastic Interest Rates
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Pricing Interest-Rate-Derivative Securities
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+Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
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+Optimal Stopping and the American Put
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+Risk minimization in stochastic volatility models: model risk and empirical performance
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+The valuation of unit-linked policies with or without surrender options
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+Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
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+Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
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+An equilibrium characterization of the term structure
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+Publication:1742704