Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
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Publication:2098074
DOI10.1016/j.ejor.2022.05.044OpenAlexW4281684378MaRDI QIDQ2098074
Publication date: 17 November 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2022.05.044
Related Items
Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
Uses Software
Cites Work
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