The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
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Publication:2507952
DOI10.1016/j.insmatheco.2005.10.002zbMath1101.60045OpenAlexW1996644561MaRDI QIDQ2507952
Laura Ballotta, Steven Haberman
Publication date: 5 October 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5815/1/gao2.pdf
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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