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Titel:

Valuation of Contingent Guarantees using Least-Squares Monte Carlo

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bienek, T.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
We consider the problem of pricing modern guarantee concepts in unit-linked life insurance, where the guaranteed amount grows contingent on the performance of an investment fund that acts simultaneously as the underlying security and the replicating portfolio. Using the Martingale Method, this nonstandard pricing problem can be transformed into a fixed-point problem, whose solution requires the evaluation of conditional expectations of highly path-dependent payoffs. By adapting the least-squares...     »
Stichworte:
Fixed-point problem, Contingent guarantee, Least-squares Monte Carlo
Dewey Dezimalklassifikation:
510 Mathematik
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
ASTIN Bulletin: The Journal of the IAA
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Band / Volume:
49
Heft / Issue:
1
Seitenangaben Beitrag:
31-56
Volltext / DOI:
doi:10.1017/asb.2018.43
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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