英文标题：
《Pricing and Hedging GLWB in the Heston and in the Black-Scholes with
Stochastic Interest Rate Models》
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作者：
Ludovic Goudenege, Andrea Molent, Antonino Zanette
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最新提交年份：
2015
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英文摘要：
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose we present four numerical methods for pricing GLWB variables annuities: a hybrid tree-finite difference method and a hybrid Monte Carlo method, an ADI finite difference scheme, and a standard Monte Carlo method. These methods are used to determine the no-arbitrage fee for the most popular versions of the GLWB contract, and to calculate the Greeks used in hedging. Both constant withdrawal and optimal withdrawal (including lapsation) strategies are considered. Numerical results are presented which demonstrate the sensitivity of the no-arbitrage fee to economic, contractual and longevity assumptions.
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中文摘要：
对终身取款保障福利（GLWB）的评估引起了学术界和现实世界金融市场的极大关注。正如Forsyth和Vetzal所说，Black和Scholes框架似乎不适合这种长期成熟的产品。他们建议使用政权转换模型。或者，我们建议使用随机波动率模型（赫斯顿模型）和随机利率的布莱克-斯科尔斯模型（赫尔-怀特模型）。为此，我们提出了四种GLWB变量年金定价的数值方法：混合树有限差分法和混合蒙特卡罗法、ADI有限差分格式和标准蒙特卡罗方法。这些方法用于确定最流行的GLWB合同版本的无套利费用，并计算套期保值中使用的希腊人。同时考虑了持续退出和最优退出（包括lapsation）策略。数值结果显示了无套利费用对经济、合同和寿命假设的敏感性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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