Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758): Difference between revisions

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-.1007/s10287-018-0304-2
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-Ludovic Goudenège
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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
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+Semi-static hedging of variable annuities
@@ Property / cites work: Semi-static hedging of variable annuities / rank @@
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+A hybrid approach for the implementation of the Heston model
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+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
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+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
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+A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
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+Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
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@@ Property / cites work @@
+Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
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@@ Property / cites work @@
+Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
+Normal rank
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
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+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
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+Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
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+Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
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+FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
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+Move-based hedging of variable annuities: a semi-analytic approach
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
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+Financial valuation of guaranteed minimum withdrawal benefits
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+Stability of no-arbitrage property under model uncertainty
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+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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@@ Property / cites work @@
+Q3900444
@@ Property / cites work: Q3900444 / rank @@
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@@ Property / cites work @@
+Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
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+Q3857636
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+A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
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@@ Property / DOI @@
+.1007/S10287-018-0304-2
@@ Property / DOI: 10.1007/S10287-018-0304-2 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:1722758