Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models

DOI10.1016/J.INSMATHECO.2016.05.018zbMath1371.91089arXiv1509.02686OpenAlexW2953129309MaRDI QIDQ2520430

Ludovic Goudenège, Andrea Molent, Antonino Zanette

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02686

zbMATH Keywords

stochastic volatilitystochastic interest ratevariable annuitiesoptimal withdrawalGLWB pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (9)

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING ⋮ NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS ⋮ Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• The effect of modelling parameters on the value of GMWB guarantees
• An optimal stochastic control framework for determining the cost of hedging of variable annuities
• Financial valuation of guaranteed minimum withdrawal benefits
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

This page was built for publication: Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models