VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q5292284)
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scientific article; zbMATH DE number 5165801
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS |
scientific article; zbMATH DE number 5165801 |
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VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS (English)
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20 June 2007
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guaranteed annuity option
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affine term structure models
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coupon-bond options
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stochastic duration
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Edgeworth approximation
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affine approximation
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