Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q2520430): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.insmatheco.2016.05.018 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.INSMATHECO.2016.05.018 / rank | |||
Normal rank | |||
Latest revision as of 04:38, 19 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models |
scientific article |
Statements
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models (English)
0 references
13 December 2016
0 references
variable annuities
0 references
GLWB pricing
0 references
stochastic volatility
0 references
stochastic interest rate
0 references
optimal withdrawal
0 references
0 references
0 references
0 references
0 references
