Pricing of multi-period rate of return guarantees.

DOI10.1016/j.insmatheco.2003.09.004zbMath1103.91351OpenAlexW2015321472MaRDI QIDQ1423346

Snorre Lindset

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.09.004

zbMATH Keywords

Heath-- Jarrow--Morton termMulti-period rate of return guaranteesstructure model of interest rates

Mathematics Subject Classification ID

Related Items

Pricing of multi-period rate of return guarantees: the Monte Carlo approach

Uses Software

• QSIMVN

Cites Work

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• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
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• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Credit risk valuation. Methods, models, and applications.