Pricing variable annuity guarantees in a local volatility framework
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| Tag | 1 | 2 | Value |
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| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140000630 | ||
| 003 | MAP | ||
| 005 | 20140207130538.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a34 | ||
| 100 | $0MAPA20100064160$aDeelstra, Griselda | ||
| 245 | 1 | 0 | $aPricing variable annuity guarantees in a local volatility framework$cGriselda Deelstra, Grégory Rayée |
| 520 | $aIn 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 | ||
| 650 | 4 | $0MAPA20080552114$aPensiones | |
| 650 | 4 | $0MAPA20080554927$aJubilación | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20140002160$aRayée, Grégory | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663 |