Pricing variable annuity guarantees in a local volatility framework

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      <subfield code="a">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</subfield>
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      <subfield code="g">04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663</subfield>
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