Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
By Ludovic Goudenège, Andrea Molent, Xiao Wei, Antonino Zanette
Rating
1535
Battle Count: 82
Relevance
7/10
Highly relevant for pricing and risk management of complex financial products, but specific to variable annuities
Implementation Complexity
8/10
Requires advanced knowledge of numerical methods and financial mathematics
Reproducibility
4/5
Detailed methodology and parameters provided, but full code not available
About this paper
Methodology: Hybrid Numerical Method. Problem types: Option Pricing, Optimal Stopping.
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