Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
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Publication:5235461
DOI10.1080/14697688.2019.1583360zbMath1422.91339WikidataQ128173303 ScholiaQ128173303MaRDI QIDQ5235461
Yue Kuen Kwok, Bing Dong, Wei Xu
Publication date: 11 October 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1583360
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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, Equity-linked guaranteed minimum death benefits with dollar cost averaging
Uses Software
Cites Work
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