Showing 1 - 10 of 698
Persistent link: https://www.econbiz.de/10012506231
Persistent link: https://www.econbiz.de/10000759804
Persistent link: https://www.econbiz.de/10003759101
Persistent link: https://www.econbiz.de/10003423145
Persistent link: https://www.econbiz.de/10003469641
Persistent link: https://www.econbiz.de/10003933610
Persistent link: https://www.econbiz.de/10003949072
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
Persistent link: https://www.econbiz.de/10011327120
Persistent link: https://www.econbiz.de/10009419353