SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
16 references·4 citing·31 second hop
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (2014)The valuation of GMWB variable annuities …Problems and Perspectives in Management (2019)Problems and Perspectives in …Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)GUARANTEED MINIMUM WITHDRAWAL…A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)A Universal Pricing Framework…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Financial Modelling with Jump Processes (2004)Financial Modelling with Jump…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Numerical Methods in Economics (1998)Numerical Methods in EconomicsOption Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets (2017)Valuation of large variable a…Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (2017)Pricing and hedging guarantee…Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (2017)Efficient Greek Calculation o…Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits (2016)Analytical valuation and hedg…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Organizational unlearning (2008)Innovation and productivity in SMEs: empirical evidence for Italy (2009)Innovation and Productivity: An Update (2013)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2019Problems and Perspectives in Management1,119 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 2004Financial Modelling with Jump Processes419 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
  • 2011Variable annuities: A unifying valuation approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

176 cited

Cited by

  • 2016Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits38 cited
  • 2017Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach38 cited
  • 2017Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method36 cited
  • 2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets32 cited