Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249)
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scientific article; zbMATH DE number 6004757
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| default for all languages | No label defined |
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| English | Valuation of guaranteed annuity options using a stochastic volatility model for equity prices |
scientific article; zbMATH DE number 6004757 |
Statements
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (English)
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10 February 2012
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guaranteed annuity option (GAO)
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guaranteed minimum income benefit (GMIB)
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stochastic volatility
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stochastic interest rates
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variable annuities
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0.8539727926254272
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0.8326982855796814
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0.8310884833335876
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0.8218514919281006
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0.8122878670692444
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