Pricing variable annuity guarantees in a local volatility framework
Year of publication: |
2013
|
---|---|
Authors: | Deelstra, Griselda ; Rayée, Grégory |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 650-663
|
Subject: | Local volatility | Variable Annuity Guarantees | Stochastic interest rates | Volatilität | Volatility | Private Altersvorsorge | Private retirement provision | Lebensversicherung | Life insurance | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Garantie | Warranty |
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