An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (Q1697208)
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scientific article; zbMATH DE number 6839363
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks |
scientific article; zbMATH DE number 6839363 |
Statements
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (English)
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15 February 2018
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comonotonicity
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CIR interest-rate model
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Lee-Carter mortality model
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change of probability measure
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annuity-linked derivatives
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