Pricing guaranteed annuity options under stochastic volatility

Authors
Publication date 2008
Series Netspar/UvA working paper
Number of pages 12
Publisher onbekend: Afdeling Kwantitatieve Economie
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract Pricing GAO contracts under stochastic volatility and multi-factor Gaussian interest rates.
Document type Working paper
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