Mar 20, 2018 · We propose here to use a stochastic volatility model (the Heston model) and a Black–Scholes model with stochastic interest rate (the Black– ...
Feb 29, 2016 · Abstract:Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real ...
In this paper, we approach the problem of valuing a particular type of variable annuity called GMWB when advanced stochastic models are considered.
We propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose ...
The models in the literature, present the analysis of these products in the Black and Scholes model, disregarding possible changes in the interest rate and the ...
To understand the different impacts of stochastic volatility and stochastic interest rate over such a long maturity contract, we price the GLWB VA according to ...
Anyway, GMWB are long term products and thus accounting for stochastic interest rate has a relevant impact on both the financial evaluation and the policy ...
[PDF] Pricing and Hedging GLWB in the Heston and Black-Scholes with ...
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propose here to use stochastic volatility model (Heston model) and Black-Scholes model with stochastic interest rate (Black-Scholes Hull-White model). For ...
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models. Ludovic Goudenège, Andrea Molent, Antonino Zanette.
They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with ...