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An Analysis of the Guaranteed Withdrawal Benefits for Life Option
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An Analysis of the Guaranteed Withdrawal Benefits for Life Option (2008)An Analysis of the Guaranteed Withdrawal …GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)GUARANTEED MINIMUM WITHDRAWAL…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration (2006)A Two‐Factor Model for Stocha…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Affine processes for dynamic mortality and actuarial valuations (2005)Affine processes for dynamic …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Modeling and Forecasting U. S. Mortality (1992)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Mortality density forecasts: An analysis of six stochastic mortality models (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Analysis of Financial Time Series (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 2006A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration891 cited
  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited

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  • 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
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