Pricing a guaranteed annuity option under correlated and regime-switching risk factors (Q903675)
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scientific article; zbMATH DE number 6530523
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| English | Pricing a guaranteed annuity option under correlated and regime-switching risk factors |
scientific article; zbMATH DE number 6530523 |
Statements
Pricing a guaranteed annuity option under correlated and regime-switching risk factors (English)
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15 January 2016
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Markov chain
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change of numéraire
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exponential affine
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mortality
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interest rate
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0.8620114922523499
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0.8523879647254944
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0.8373232483863831
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0.8256910443305969
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