Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758)
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scientific article; zbMATH DE number 7024664
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models |
scientific article; zbMATH DE number 7024664 |
Statements
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (English)
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18 February 2019
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variable annuities
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GMWB pricing
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stochastic volatility
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stochastic interest rate
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optimal withdrawal
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