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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
Life Insurance and Annuity Products The research investigates the challenges associated with determining ... embedded options in two product types and incorporates the process into product pricing and liability valuation ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Valuing American Options in a Path Simulation Model
demonstrates the accuracy by an example involving a put option on a non-dividend-paying stock for which the exact ... exact premium could be determined. It shows how the use of simulation models can be useful in valuing a ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models