Analytical approximation of variable annuities for small volatility and small withdrawal
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Cites work
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytic bounds and approximations for annuities and Asian options
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Asymptotic and non asymptotic approximations for option valuation
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Interest rate models -- theory and practice
- Large deviations and asymptotic methods in finance
- Martingale methods in financial modelling.
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Preliminary control variates to improve empirical regression methods
- Risk-minimizing hedging strategies for insurance payment processes
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
- The fair value of guaranteed annuity options
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
Cited in
(5)- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- The Valuation and Hedging of Variable Rate Savings Accounts
- Variational inequality arising from variable annuity with mean reversion environment
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
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