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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate |
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| Authors: | Goudenège Ludovic Molent Andrea Zanette Antonino |
| Affiliation: | 1.Féderation de Mathématiques de CentraleSupélec - CNRS FR3487, Gif-sur-Yvette, France ;2.Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Udine, Udine, Italy ; |
| Abstract: | Decisions in Economics and Finance - In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility... |
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