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Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum Withdrawal Benefit

Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum Withdrawal Benefit This abstract describes a paper that uses a combination of several analytical ...
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Description: This abstract describes a paper that uses a combination of several analytical methods to find closed-form solutions to the embedded options of the plain-vanilla GMWB rider.
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- Authors: Runhuan Feng, Hans Volkmer
- Date: Feb 2014

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Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum Withdrawal Benefit