Pricing of multiple exercise options in high dimensions - CSIRO Scholarship

Project Member(s): Novikov, A., Hinz, J.

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