Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Deelstra, Griselda & Rayée, Grégory, 2013.
"Pricing Variable Annuity Guarantees in a local volatility framework,"
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- Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
- Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
More about this item
KeywordsGuaranteed annuity option (GAO) Guaranteed Minimum Income Benefit (GMIB) Stochastic volatility Stochastic interest rates Variable annuities;
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