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An Analysis of the Guaranteed Withdrawal Benefits for Life Option · Study

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PreprintAn Analysis of the Guaranteed Withdrawal Benefits for Life Option

Premal Shah2008

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Preprintgreen2008

An Analysis of the Guaranteed Withdrawal Benefits for Life Option

Premal Shah · Dimitris Bertsimas

23 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Insurance and Financial Risk Management Financial Literacy, Pension, Retirement Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1977An equilibrium characterization of the term structure 1987Stochastic Differential Equations: An Introduction with Applications.1993Dynamic Asset Pricing Theory.1997Empirical Performance of Alternative Option Pricing Models

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 8 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 8 shared references 2018Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting methodarticle · 8 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2005Credit risk modeling with affine processesarticle · 7 shared references 2005A Selective Overview of Nonparametric Methods in Financial Econometricsarticle · 7 shared references

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Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1312727

openalex_workW89900883

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