Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
type: Item
instance of: scholarly article
title: Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
zbMATH Open document ID: 1028.91566
DOI: 10.1016/S0167-6687(99)00020-7
author: Kristian R. Miltersen
author: Svein-Arne Persson
published in: Insurance Mathematics \& Economics
publication date: 2000-05-08T00:00:00Z
Mathematics Subject Classification ID: 91B40
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1441563
zbMATH Keywords: interest rate guarantees
zbMATH Keywords: stochastic interest rates
zbMATH Keywords: Heath-Jarrow-Morton term structure model
zbMATH Keywords: maturity guarantees
zbMATH Keywords: multi-period guarantees
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1441563