GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk
Download full text from publisher
References listed on IDEAS
- Jingjiang Peng & Kwai Sun Leung & Yue Kuen Kwok, 2012. "Pricing guaranteed minimum withdrawal benefits under stochastic interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 933-941, October.
- Chen, Z. & Vetzal, K. & Forsyth, P.A., 2008. "The effect of modelling parameters on the value of GMWB guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 165-173, August.
- Massimo Costabile & Ivar Massabó & Emilio Russo, 2006. "An adjusted binomial model for pricing Asian options," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 285-296, November.
- Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 45-71, March.
- Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
- Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Bacinello, Anna Rita & Millossovich, Pietro & Olivieri, Annamaria & Pitacco, Ermanno, 2011. "Variable annuities: A unifying valuation approach," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 285-297.
- Hyndman, Cody B. & Wenger, Menachem, 2014. "Valuation perspectives and decompositions for variable annuities with GMWB riders," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 283-290.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1410.7453. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .