CHU, CHI CHIU; KWOK, YUE KUEN - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 363-387
We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff...