VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q5292284): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 22:24, 8 February 2024
scientific article; zbMATH DE number 5165801
Language | Label | Description | Also known as |
---|---|---|---|
English | VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS |
scientific article; zbMATH DE number 5165801 |
Statements
VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (English)
0 references
20 June 2007
0 references
guaranteed annuity option
0 references
affine term structure models
0 references
coupon-bond options
0 references
stochastic duration
0 references
Edgeworth approximation
0 references
affine approximation
0 references