Valuing variable annuity guarantees with the multivariate Esscher transform (Q654817): Difference between revisions

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-.1016/j.insmatheco.2011.06.003
@@ Property / DOI: 10.1016/j.insmatheco.2011.06.003 / rank @@
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+Pricing and hedging long-term options
@@ Property / cites work: Pricing and hedging long-term options / rank @@
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+Q4221330
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+Normal rank
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+Option pricing and Esscher transform under regime switching
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+Q5480304
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+Financial valuation of guaranteed minimum withdrawal benefits
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+Geometric Lévy process \& MEMM pricing model and related estimation problems
+Normal rank
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+Fair valuation of participating policies with surrender options and regime switching
+Normal rank
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+Pricing participating products under a generalized jump-diffusion model
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2011.06.003
@@ Property / DOI: 10.1016/J.INSMATHECO.2011.06.003 / rank @@
+Normal rank