VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q5292284): Difference between revisions

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+Q60148455
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@@ Property / cites work @@
+Valuation of guaranteed annuity conversion options.
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+Affine processes for dynamic mortality and actuarial valuations
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+Guaranteed Annuity Options
@@ Property / cites work: Guaranteed Annuity Options / rank @@
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+Event risk, contingent claims and the temporal resolution of uncertainty
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Stochastic duration and fast coupon bond option pricing in multi-factor models
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+Pricing and hedging guaranteed annuity options via static option replication.
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+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
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+https://doi.org/10.1142/s0219024907004160
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+W3124199651
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+Publication:5292284