Lévy modeled GMWB: Pricing with wavelets

DOI10.1080/03610918.2018.1563144MaRDI QIDQ5083992zbMATH OpenOpenAlexFDO

Authors Rok Okorn, M. Omladič

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

zbMATH Keywords

waveletspricingGMWBLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3673243 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Arbitrage Theory in Continuous Time
• Financial Modelling with Jump Processes
• Financial valuation of guaranteed minimum withdrawal benefits
• Term structure models driven by general Lévy processes
• The effect of modelling parameters on the value of GMWB guarantees
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Wavelet Galerkin pricing of American options on Lévy driven assets

Cited in

(3)

• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
• scientific article; zbMATH DE number 5002334 (Why is no real title available?)

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