Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Year of publication: |
2021
|
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Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonino |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 1, p. 57-72
|
Subject: | GMWB pricing | Heston-Hull-White model | Numerical method | Machine learning | Gaussian process regression | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis | Zins | Interest rate | Numerisches Verfahren | Numerical analysis | Finanzmathematik | Mathematical finance |
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