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Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models
16 references·2 citing·41 second hop
Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models (2016)Pricing and hedging GLWB in the Heston an…The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities (2014)The impact of policyholder be…An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014)An optimal stochastic control…Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation (2012)Alternating direction implici…Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation (2012)Alternating direction implici…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…Variable Annuities: A Unifying Valuation Approach (2011)Variable Annuities: A Unifyin…Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009)Valuing the Guaranteed Minimu…High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)High order discretization sch…The effect of modelling parameters on the value of GMWB guarantees (2008)The effect of modelling param…Interest Rate Models — Theory and Practice (2006)Interest Rate Models — Theory…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)Numerical Procedures for Impl…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation (2022)Hybrid Equity Swap, Cap, and …Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate (2019)Gaussian Process Regression f…A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)The Determinants of Credit Default Swap Premia (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)Pricing guaranteed minimum withdrawal benefits under stochastic interest rates (2010)Research on lapse in life insurance: what has been done and what needs to be done? (2013)Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Dynamic Asset Pricing Theory. (1993)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A comparison of biased simulation schemes for stochastic volatility models (2009)Time Dependent Heston Model (2010)An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (2011)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Implied Binomial Trees (1994)Testing Continuous-Time Models of the Spot Interest Rate (1996)Pricing American-style securities using simulation (1997)Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (2013)EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK (2014)ADI Schemes for Pricing American Options under the Heston Model (2015)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models519 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2009High order discretization schemes for the CIR process: Application to affine term structure and Heston models169 cited
  • 2008The effect of modelling parameters on the value of GMWB guarantees103 cited
  • 2012Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation82 cited
  • 2014The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities64 cited
  • 2006Interest Rate Models — Theory and Practice62 cited
  • 2014An optimal stochastic control framework for determining the cost of hedging of variable annuities53 cited
  • 2012Alternating direction implicit finite difference schemes for the Heston-Hull-White partial differential equation

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50 cited
  • 2009Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals43 cited
  • 2011Variable Annuities: A Unifying Valuation Approach40 cited
  • Cited by

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    • 2022Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation16 cited