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Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.

Ludovic GoudenègeAndrea MolentAntonino Zanette
Published in: Comput. Manag. Sci. (2019)
Keyphrases
  • option pricing
  • black scholes
  • convertible bonds
  • financial markets
  • neural network
  • probabilistic model
  • long term