19 citations · 39 across the 14 of their papers we have counts for
3 papers · 1 filter
Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model
Ludovic Goudenege, Andrea Molent, Antonino Zanette
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a r…
The Life Care Annuity: enhancing product features and refining pricing methods
G. Apicella, A. Molent, M. Gaudenzi
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Ben…
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Xiao Wei +1
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a Lévy equity market environment by incorporating a stoc…