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zbMATH Open
Article . 2014
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Mathematics and Computers in Simulation
Article . 2014 . Peer-reviewed
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Article . 2020
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Claim

A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates

descriptionPublicationkeyboard_double_arrow_right Article 01 Mar 2014 English Publisher:Elsevier BVJournal:Mathematics and Computers in Simulation, volume 97, pages 39-52 (issn: 0378-4754, Copyright policy )
Authors: Chih-Kai Chang;

doi: 10.1016/j.matcom.2013.08.006

A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

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Keywords

Derivative securities (option pricing, hedging, etc.), Numerical methods (including Monte Carlo methods), fair valuation, surrender option, Vasicek model, ratchet option, equity-indexed annuity

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
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