Valuation of guaranteed annuity conversion options

Insurance: Mathematics and Economics

Volumn 33, Issue 1, 2003, Pages 87-108

  Ballotta, Laura ^a   Haberman, Steven ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Guaranteed annuity option; Heath Jarrow Morton model; Risk neutral valuation

Indexed keywords

EID: 0141425639     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(03)00146-X     Document Type: Article

References (21)

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