VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
From MaRDI portal
Publication:5292284
DOI10.1142/S0219024907004160zbMath1137.91490WikidataQ60148455 ScholiaQ60148455MaRDI QIDQ5292284
Publication date: 20 June 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
affine term structure models; Edgeworth approximation; stochastic duration; affine approximation; coupon-bond options; guaranteed annuity option
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Cites Work
- Stochastic duration and fast coupon bond option pricing in multi-factor models
- Affine processes for dynamic mortality and actuarial valuations
- Valuation of guaranteed annuity conversion options.
- Pricing and hedging guaranteed annuity options via static option replication.
- Event risk, contingent claims and the temporal resolution of uncertainty
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- Guaranteed Annuity Options