Marquardt, T.; Platen, Eckhard; Jaschke, S. - Finance Discipline Group, Business School - 2008
, VA markets are incomplete. In this paper we propose a methodology for pricing GMDBs under a benchmark approach which does …
in Variable Annuities Under a Benchmark Approach
T. Marquardt, E. Platen, S. Jaschke
ISSN 1441-8010
Valuing … Guaranteed Minimum Death Benefit
Options in Variable Annuities under a
Benchmark Approach
T. Marquardt,∗ E. Platen,† S. Jaschke …