Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Year of publication: |
2019
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Authors: | Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 217-248
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Subject: | Varibles annuities | GMWB pricing | Stochastic volatility | Stochastic interest rate | Optimal withdrawal | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Hedging | Zins | Interest rate | Zinsstruktur | Yield curve | Finanzmathematik | Mathematical finance |
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