A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates (Q2229798)
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scientific article; zbMATH DE number 7312554
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| English | A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates |
scientific article; zbMATH DE number 7312554 |
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A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates (English)
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18 February 2021
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equity-indexed annuity
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fair valuation
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ratchet option
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surrender option
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Vasicek model
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