A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates
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Publication:2229798
DOI10.1016/j.matcom.2013.08.006OpenAlexW1967870807MaRDI QIDQ2229798
Publication date: 18 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2013.08.006
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (2)
Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
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