A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
Year of publication: |
2022
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Authors: | De Angelis, Paolo ; De Marchis, Roberto ; Martire, Antonio L. ; Russo, Emilio |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 415-446
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Subject: | Binomial algorithm | Bivariate lattice | Discrete dividends | Guaranteed minimum withdrawal benefit | Surrender option | Variable annuity | Dividende | Dividend | Optionspreistheorie | Option pricing theory | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision |
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