A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
From MaRDI portal
Publication:2145706
DOI10.1007/s10203-022-00371-0zbMath1492.91371OpenAlexW4281784045MaRDI QIDQ2145706
Paolo De Angelis, Roberto De Marchis, Emilio Russo, Antonio Luciano Martire
Publication date: 17 June 2022
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-022-00371-0
guaranteed minimum withdrawal benefitsurrender optionvariable annuitydiscrete dividendsbinomial algorithmbivariate lattice
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Financial valuation of guaranteed minimum withdrawal benefits
- A Theory of the Term Structure of Interest Rates
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- An integral equation for American put options on assets with general dividend processes
- Efficient Pricing of Derivatives on Assets with Discrete Dividends
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
- A bivariate model for evaluating equity-linked policies with surrender option
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Interest rate model comparisons for participating products under Solvency II
- An equilibrium characterization of the term structure
- A shifted tree model for the efficient evaluation of options with fixed dividends
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
This page was built for publication: A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
