Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
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References listed on IDEAS
- David Heath & Eckhard Platen, 2002.
"Consistent pricing and hedging for a modified constant elasticity of variance model,"
Taylor & Francis Journals, vol. 2(6), pages 459-467.
- David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney.
- Bühlmann, Hans & Platen, Eckhard, 2003. "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 153-172, November.
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KeywordsBenchmark approach; fair pricing; GMDB; growth optimal portfolio; lapsation; local volatility function; minimal market model; variable annuities;
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