Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
type: Item
instance of: scholarly article
title: Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
author: Andrea Molent
author: Antonino Zanette
author: Ludovic Goudenège
published in: Computational Management Science
publication date: 2019-02-18T00:00:00Z
full work available at URL: https://arxiv.org/abs/1602.09078
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7024664
zbMATH Keywords: variable annuities
zbMATH Keywords: GMWB pricing
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: optimal withdrawal
MaRDI profile type: Publication
OpenAlex ID: W3215167997
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Wikidata QID: Q130102227
DOI: 10.1007/S10287-018-0304-2
description: scientific article; zbMATH DE number 7024664