Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
Year of publication: |
2019
|
---|---|
Authors: | Dong, Bing ; Xu, Wei ; Kwok, Yue-Kuen |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 10, p. 1741-1761
|
Subject: | Dynamic withdrawal strategies | GMWB | Hedging strategies | Willow tree scheme | Hedging | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
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