Pricing maturity guarantee with dynamic withdrawal benefit under Vasicek interest rate model

zbMATH Open1358.91103MaRDI QIDQ2966580FDOQ2966580

Authors: Jie Pan 

Publication date: 7 March 2017

Full work available at URL: http://ijpam.uniud.it/online_issue/201636/45-JiePan.pdf

Recommendations

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• Financial valuation of guaranteed minimum withdrawal benefits

zbMATH Keywords

maturity guaranteedynamic withdrawal benefitforward neutral measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (1)

• Pricing maturity guarantee with dynamic withdrawal benefit

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