CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION (Q4563739)
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scientific article; zbMATH DE number 6880301
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION |
scientific article; zbMATH DE number 6880301 |
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CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION (English)
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4 June 2018
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stochastic simulation
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Monte Carlo estimation
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variable annuity
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Greeks
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sensitivities
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Heston stochastic volatility model
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pathwise method
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likelihood-ratio method
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stochastic interest rates
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