Lévy modeled GMWB: Pricing with wavelets
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Publication:5083992
DOI10.1080/03610918.2018.1563144zbMATH Open1489.91271OpenAlexW2912767714MaRDI QIDQ5083992FDOQ5083992
Publication date: 21 June 2022
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1563144
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Financial Modelling with Jump Processes
- Arbitrage Theory in Continuous Time
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Financial valuation of guaranteed minimum withdrawal benefits
- 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
- Term structure models driven by general Lévy processes
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited In (1)
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