Valuation of annuity guarantees under a self-exciting switching jump model
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Publication:2152249
DOI10.1007/s11009-022-09931-8zbMath1489.91270OpenAlexW3187839944MaRDI QIDQ2152249
Donatien Hainaut, Charles Guy Njike Leunga
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-022-09931-8
Computational methods in Markov chains (60J22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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