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Quantitative Finance Volume 19, 2019 - Issue 10
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Research Papers

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

Bing DongSchool of Mathematical Sciences, Tongji University, Shanghai200092, People's Republic of ChinaView further author information
,
Wei XuSchool of Mathematical Sciences, Tongji University, Shanghai200092, People's Republic of ChinaCorrespondence[email protected]
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&
Yue Kuen KwokDepartment of Mathematics, Hong Kong University of Science and Technology, Hong Kong, People's Republic of ChinaView further author information
Pages 1741-1761 | Received 13 Sep 2018, Accepted 01 Feb 2019, Published online: 26 Mar 2019

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J. Lars Kirkby & Jean-Philippe Aguilar. (2023) Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Scandinavian Actuarial Journal 2023:6, pages 624-654.
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Articles from other publishers (8)

Yaowen Lu & Duy‐Minh Dang. (2023) A semi‐Lagrangian ε$$ \varepsilon $$‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate. Numerical Methods for Partial Differential Equations.
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Claudio Fontana & Francesco Rotondi. (2023) Valuation of general GMWB annuities in a low interest rate environment. Insurance: Mathematics and Economics 112, pages 142-167.
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Jin-Yu Zhang, Wen-Bo Wu, Yong Li & Zhu-Sheng Lou. (2020) Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method. Computational Economics 58:3, pages 867-884.
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J. Lars Kirkby & Duy Nguyen. (2021) Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. Insurance: Mathematics and Economics 100, pages 408-428.
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JinDong Wang & Wei Xu. (2020) RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE. ASTIN Bulletin 50:3, pages 959-999.
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Bing Dong, Wei Xu, Aleksandar Sevic & Zeljko Sevic. (2020) Efficient willow tree method for variable annuities valuation and risk management☆. International Review of Financial Analysis 68, pages 101429.
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Frédéric Godin, Emmanuel Hamel, Patrice Gaillardetz & Edwin Hon-Man Ng. (2022) Risk allocation through Shapley decompositions with applications to variable annuities. SSRN Electronic Journal.
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Justin Kirkby & Jean-Philippe Aguilar. (2022) Valuation and Optimal Surrender of Variable Annuities with Guaranteed Minimum Benefits and Periodic Fees. SSRN Electronic Journal.
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