Lévy modeled GMWB: Pricing with wavelets

DOI10.1080/03610918.2018.1563144zbMath1489.91271OpenAlexW2912767714MaRDI QIDQ5083992

Rok Okorn, Matjaž Omladič

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1563144

zbMATH Keywords

waveletsLévy processespricingGMWB

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• The effect of modelling parameters on the value of GMWB guarantees
• Financial valuation of guaranteed minimum withdrawal benefits
• Term Structure Models Driven by General Levy Processes
• Wavelet Galerkin pricing of American options on Lévy driven assets
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Financial Modelling with Jump Processes
• Arbitrage Theory in Continuous Time

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