Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

DOI10.1080/14697688.2019.1583360zbMath1422.91339OpenAlexW2924448261WikidataQ128173303 ScholiaQ128173303MaRDI QIDQ5235461

Yue Kuen Kwok, Bing Dong, Wei Xu

Publication date: 11 October 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1583360

zbMATH Keywords

hedging strategiesdynamic withdrawal strategiesWillow tree scheme

Mathematics Subject Classification ID

Related Items (4)

Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging

Uses Software

• AS 99

Cites Work

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• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• The Existence of Optimal Bang-Bang Controls for GMxB Contracts
• A new sampling strategy willow tree method with application to path-dependent option pricing
• Option pricing when underlying stock returns are discontinuous
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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