Bayesian analysis of equity-linked savings contracts with American-style options
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Publication:2879032
DOI10.1080/14697688.2013.808373zbMath1294.91177OpenAlexW2030420518MaRDI QIDQ2879032
Anne Puustelli, Lasse Koskinen, Arto Luoma
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.808373
Bayesian analysisMonte Carlo methodsstochastic interest ratesoption pricing via simulationinsurance related productsAmerican style derivative securities
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
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- THE GARCH OPTION PRICING MODEL
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Pricing American Options: A Duality Approach
- Bayesian Risk Management for Equity-Linked Insurance
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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