Pricing of Ratchet equity-indexed annuities under stochastic interest rates (Q2463567)
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scientific article; zbMATH DE number 5219807
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| English | Pricing of Ratchet equity-indexed annuities under stochastic interest rates |
scientific article; zbMATH DE number 5219807 |
Statements
Pricing of Ratchet equity-indexed annuities under stochastic interest rates (English)
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14 December 2007
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Ratchet EIA
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extended Vasicek model
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forward measure
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forward valuation method
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multivariate normal CDF
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0.8596674799919128
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0.8494439125061035
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0.8324167132377625
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0.82581627368927
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0.7957509756088257
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