Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
Author:
Affiliation:
1. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, USA
2. Société Générale, Paris – La Défense Cedex, France
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2141656
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1. SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL
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3. Aguilar J.P. & Kirkby J. (2021). Closed-form option pricing for exponential Lévy models: a residue approach. https://ssrn.com/abstract=3823337.
4. Pricing, Risk and Volatility in Subordinated Market Models
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