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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    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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    Willow tree scheme
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    dynamic withdrawal strategies
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    hedging strategies
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