A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders

DOI10.1007/s10203-022-00371-0zbMath1492.91371OpenAlexW4281784045MaRDI QIDQ2145706

Paolo De Angelis, Roberto De Marchis, Emilio Russo, Antonio Luciano Martire

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-022-00371-0

zbMATH Keywords

guaranteed minimum withdrawal benefitsurrender optionvariable annuitydiscrete dividendsbinomial algorithmbivariate lattice

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation of general GMWB annuities in a low interest rate environment

Cites Work

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