hal-01390968

title_s

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models

auteur

Ludovic Goudenège, Molent Andrea, Antonino Zanette

journal

Insurance: Mathematics and Economics

volume

70

pages

38–57

doi

10.1016/j.insmatheco.2016.05.018

fichier_autre

http://arxiv.org/pdf/1509.02686

origine_autre

arxiv

annee

2016