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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002 - This version: 12-Mar-2002 13:27
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011326973
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon André Jean - 2002
Persistent link: https://www.econbiz.de/10001663822
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Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
Pelsser, Antoon - 2002
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10010325024
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Pricing swaptions and coupon bond options in affine term structure models
Schrager, David F.; Pelsser, Antoon André Jean - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 673-694
Persistent link: https://www.econbiz.de/10003394188
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Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard; Pelsser, Antoon André Jean - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 124-134
Persistent link: https://www.econbiz.de/10009517653
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On the information in the interest rate term structure and option prices
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
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Fast drift-approximated pricing in the BGM model
Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124
Persistent link: https://www.econbiz.de/10002390575
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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002700972
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Risk managing Bermudan swaptions in the Libor BGM model
Pietersz, Raoul (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001902799
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Risk-management Bermudan swaptions in a LIBOR model
Pietersz, Raoul; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 51-62
Persistent link: https://www.econbiz.de/10002007139