VIX-linked fees for GMWBs via explicit solution simulation methods (Q1667404)
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scientific article
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| English | VIX-linked fees for GMWBs via explicit solution simulation methods |
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VIX-linked fees for GMWBs via explicit solution simulation methods (English)
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28 August 2018
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variable annuities
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stochastic differential equation
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explicit solution
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Monte Carlo simulation
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Heston model
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0.798554539680481
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0.7963014245033264
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0.7461007833480835
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0.7398699522018433
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0.7369115948677063
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