Pricing variable annuity guarantees in a local volatility framework

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<title>Pricing variable annuity guarantees in a local volatility framework</title>
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<namePart>Rayée, Grégory</namePart>
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<abstract displayLabel="Summary">In this paper the authors study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatility, whil interest rates follow a Hull-White one-factor Gaussian model</abstract>
<note type="statement of responsibility">Griselda Deelstra, Grégory Rayée</note>
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<topic>Pensiones</topic>
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<topic>Cálculo actuarial</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663</text>
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