A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates (Q2229798)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates |
scientific article |
Statements
A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates (English)
0 references
18 February 2021
0 references
equity-indexed annuity
0 references
fair valuation
0 references
ratchet option
0 references
surrender option
0 references
Vasicek model
0 references
0 references
0 references
0 references
0 references
