VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS

DOI10.1142/S0219024907004160zbMath1137.91490OpenAlexW3124199651WikidataQ60148455 ScholiaQ60148455MaRDI QIDQ5292284

Chi Chiu Chu, Yue Kuen Kwok

Publication date: 20 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004160

zbMATH Keywords

affine term structure modelsEdgeworth approximationstochastic durationaffine approximationcoupon-bond optionsguaranteed annuity option

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Affine processes for dynamic mortality and actuarial valuations
• Valuation of guaranteed annuity conversion options.
• Pricing and hedging guaranteed annuity options via static option replication.
• Event risk, contingent claims and the temporal resolution of uncertainty
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Guaranteed Annuity Options