VIX-linked fees for GMWBs via explicit solution simulation methods
Michael A. Kouritzin, Anne MacKay
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Kouritzin, Michael A. ; MacKay, Anne |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 81.2018, p. 1-17
|
| Subject: | Variable annuities | Stochastic differential equation | Explicit solution | Monte Carlo simulation | Heston model | Simulation | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.04.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011904577