Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
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Recommendations
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Pricing variable annuities embedding various guaranteed minimum benefits
- The effect of modelling parameters on the value of GMWB guarantees
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Financial valuation of guaranteed minimum withdrawal benefits
Cites work
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- A new sampling strategy willow tree method with application to path-dependent option pricing
- A theory of the term structure of interest rates
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Option pricing when underlying stock returns are discontinuous
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- The effect of modelling parameters on the value of GMWB guarantees
- The existence of optimal bang-bang controls for GMxB contracts
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
Cited in
(8)- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Pricing variable annuities embedding various guaranteed minimum benefits
- Risk-based capital for variable annuity under stochastic interest rate
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
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