Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models |
scientific article; zbMATH DE number 7024664
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models |
scientific article; zbMATH DE number 7024664 |
Statements
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (English)
0 references
18 February 2019
0 references
variable annuities
0 references
GMWB pricing
0 references
stochastic volatility
0 references
stochastic interest rate
0 references
optimal withdrawal
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.912386417388916
0 references
0.8366843461990356
0 references
0.8263341188430786
0 references
0.8136769533157349
0 references
0.8097602128982544
0 references
