컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0623 |
|---|---|
| 분류(Section) | Contributed Talk |
| 분과(Session) | Numerical Analysis / Scientific Computations / Mathematics in Science and Technology (SS-14) |
| 영문제목 (Title(Eng.)) |
GMWB pricing under a stochastic volatility |
| 저자(Author(s)) |
Jungmin Choi1 East Carolina University1 |
| 초록본문(Abstract) | A Guaranteed Minimum Withdrawal Benefit (GMWB) is one of the Variable Annuities, which are deferred, fund-linked annuity contracts, usually with a single premium payment up front. This project studies the pricing of GMWB when the underlying risky asset dynamic follows a stochastic volatility model. The nature of the GMWB policy enables us to consider a barrier option pricing problem as a part of the pricing formula. A GMWB pricing PDE with a stochastic volatility model is derived, and the impacts of various parameters that determine the value of the policy are explored. One of the parameters is the insurance fee, and by solving an optimization problem, one can find a proper value of the insurance fee. The computed insurance fee shows that the cost of providing a GMWB is underpriced in the market, when a stochastic volatility model is considered. |
| 분류기호 (MSC number(s)) |
91G80 |
| 키워드(Keyword(s)) | variable annuity, GMWB, stochastic volatility, barrier option |
| 강연 형태 (Language of Session (Talk)) |
English |