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20132026
most citedPricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

19 citations · 82 across the 14 of their papers we have counts for

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q-fin.CP2026

Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model

Ludovic Goudenege, Andrea Molent, Xiao Wei +1

We develop a market-informed valuation framework for guaranteed minimum maturity benefit (GMMB) riders with rational surrender under the Heston stochastic-local volatility (SLV) mo…