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q-fin.PR2012
Local Volatility Pricing Models for Long-dated FX Derivatives
Griselda Deelstra, Grégory Rayée
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX d…
q-fin.PR2012
Pricing Variable Annuity Guarantees in a Local Volatility framework
Griselda Deelstra, Grégory Rayée
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the setti…