Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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Publication:2869985
DOI10.1080/14697680903436606zbMath1279.91165OpenAlexW3125728648WikidataQ60148438 ScholiaQ60148438MaRDI QIDQ2869985
Jingjiang Peng, Kwai Sun Leung, Yue Kuen Kwok
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903436606
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Cites Work
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- The effect of modelling parameters on the value of GMWB guarantees
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Financial valuation of guaranteed minimum withdrawal benefits
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- The value of an Asian option
