Analytical approximations for prices of swap rate dependent embedded options in insurance products
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Publication:1003826
DOI10.1016/j.insmatheco.2008.11.003zbMath1156.91401OpenAlexW3124708959MaRDI QIDQ1003826
Publication date: 4 March 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.003
analytical approximationembedded optionsfair value of liabilitiesGaussian interest rate modelinsurance products
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Cites Work
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- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
- The square-root process and Asian options
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Volatility skews and extensions of the Libor market model
- On pricing and reserving with-profits life insurance contracts
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Changes of numéraire, changes of probability measure and option pricing
- The value of an Asian option
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