A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (Q2145706): Difference between revisions

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scientific article

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English	A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders	scientific article

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instance of

scholarly article

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title

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (English)

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author

Paolo De Angelis

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Roberto De Marchis

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Antonio Luciano Martire

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Emilio Russo

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published in

Decisions in Economics and Finance

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publication date

17 June 2022

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zbMATH Keywords

binomial algorithm

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bivariate lattice

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discrete dividends

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variable annuity

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guaranteed minimum withdrawal benefit

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surrender option

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1007/s10203-022-00371-0

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cites work

Interest rate model comparisons for participating products under Solvency II

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

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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Q4793185

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A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

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A shifted tree model for the efficient evaluation of options with fixed dividends

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A lattice approach to evaluate participating policies in a stochastic interest rate framework

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A Theory of the Term Structure of Interest Rates

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Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

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A bivariate model for evaluating equity-linked policies with surrender option

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Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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Q4905685

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Financial valuation of guaranteed minimum withdrawal benefits

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Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

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An equilibrium characterization of the term structure

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Efficient Pricing of Derivatives on Assets with Discrete Dividends

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An integral equation for American put options on assets with general dividend processes

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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

1492.91371

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DOI

10.1007/s10203-022-00371-0

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2145706

@@ Property / cites work @@
+Interest rate model comparisons for participating products under Solvency II
+Normal rank
@@ Property / cites work @@
+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Q4793185
@@ Property / cites work: Q4793185 / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+A shifted tree model for the efficient evaluation of options with fixed dividends
+Normal rank
@@ Property / cites work @@
+A lattice approach to evaluate participating policies in a stochastic interest rate framework
+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 @@
+Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
+Normal rank
@@ Property / cites work @@
+A bivariate model for evaluating equity-linked policies with surrender option
+Normal rank
@@ Property / cites work @@
+Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of Derivatives on Assets with Discrete Dividends
+Normal rank
@@ Property / cites work @@
+An integral equation for American put options on assets with general dividend processes
+Normal rank
@@ Property / cites work @@
+A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
+Normal rank