An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (Q253095)
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scientific article; zbMATH DE number 6551188
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| English | An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit |
scientific article; zbMATH DE number 6551188 |
Statements
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (English)
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8 March 2016
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geometric Brownian motion with affine drift
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hitting time
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Yor's process
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option pricing
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variable annuity guaranteed benefits
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guaranteed minimum withdrawal benefit
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confluent hypergeometric functions
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0.789945125579834
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0.7836424708366394
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0.7792031168937683
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0.7660596966743469
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