A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (Q2145706)
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scientific article; zbMATH DE number 7544269
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| English | A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders |
scientific article; zbMATH DE number 7544269 |
Statements
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (English)
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17 June 2022
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binomial algorithm
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bivariate lattice
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discrete dividends
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variable annuity
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guaranteed minimum withdrawal benefit
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surrender option
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0.7759173512458801
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0.7347962856292725
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0.7213865518569946
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0.7200868129730225
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0.7142157554626465
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