Pricing of multiple exercise options in high dimensions - CSIRO Scholarship
Project Member(s): Novikov, A.
Funding or Partner Organisation: Commonwealth Scientific and Industrial Research Organisation (Commonwealth Scientific & Industrial Research Organisation)
Start year: 2014
Summary: The aim of this project is to develop an efficient numerical method for pricing variable annuity products. This project aims to develop models including: pricing annuity products with guaranteed minimum withdrawal benefits; hedging and replication of these products; and numerical solutions to related high dimensional stochastic control problems. Research outcomes from this project will include journal publications, technical reports, conference presentations and practical implementations.
FOR Codes: Finance, Finance Services