Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
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Publication:2098074
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Cites work
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Cited in
(13)- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Randomization and the valuation of guaranteed minimum death benefits
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Pricing and hedging autocallable products by Markov chain approximation
- Efficient valuation of joint life variable annuities with guaranteed minimum death benefits
- A general valuation framework for rough stochastic local volatility models and applications
- Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk
- A unifying approach for the pricing of debt securities
- Risk-free rate caplets pricing by CTMC approximation
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