Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models (Q5235461): Difference between revisions

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scientific article; zbMATH DE number 7116181

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English	Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models	scientific article; zbMATH DE number 7116181

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instance of

scholarly article

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title

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models (English)

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11 October 2019

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zbMATH Keywords

Willow tree scheme

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dynamic withdrawal strategies

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hedging strategies

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describes a project that uses

AS 99

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2019.1583360

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cites work

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

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The Existence of Optimal Bang-Bang Controls for GMxB Contracts

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The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

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Convertible bond valuation in a jump diffusion setting with stochastic interest rates

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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The effect of modelling parameters on the value of GMWB guarantees

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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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A Theory of the Term Structure of Interest Rates

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

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Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

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Iterative methods for the solution of a singular control formulation of a GMWB pricing problem

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Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

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SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

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Option pricing when underlying stock returns are discontinuous

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Financial valuation of guaranteed minimum withdrawal benefits

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Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *

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Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

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Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate

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A new sampling strategy willow tree method with application to path-dependent option pricing

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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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Identifiers

zbMATH Open document ID

1422.91339

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DOI

10.1080/14697688.2019.1583360

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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@@ Property / cites work @@
+Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
+Normal rank
@@ Property / cites work @@
+The Existence of Optimal Bang-Bang Controls for GMxB Contracts
+Normal rank
@@ Property / cites work @@
+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
+Normal rank
@@ Property / cites work @@
+Convertible bond valuation in a jump diffusion setting with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+An optimal stochastic control framework for determining the cost of hedging of variable annuities
+Normal rank
@@ Property / cites work @@
+Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
+Normal rank
@@ Property / cites work @@
+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
+Normal rank
@@ Property / cites work @@
+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
+Normal rank
@@ Property / cites work @@
+SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
+Normal rank
@@ Property / cites work @@
+Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
+Normal rank
@@ Property / cites work @@
+Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
+Normal rank
@@ Property / cites work @@
+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
+Normal rank
@@ Property / cites work @@
+A new sampling strategy willow tree method with application to path-dependent option pricing
+Normal rank
@@ Property / cites work @@
+A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
+Normal rank
@@ Property / Wikidata QID @@
+Q128173303
@@ Property / Wikidata QID: Q128173303 / rank @@
+Normal rank
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+Publication:5235461