Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment
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DOI: 10.1515/apjri-2015-0013
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References listed on IDEAS
- Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
- Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
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Cited by:
- Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
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Keywords
guaranteed annuity options; stochastic volatility model; Heston–Hull White model; asymptotic expansion;All these keywords.
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