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Keywords: Finite difference method
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Journal Articles
Pricing ruin‐contingent life annuity under stochastic volatility
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2012) 14 (1): 35–48.
Published: 28 December 2012
... differential equation (PIDE) approach to develop the pricing scheme for the fair value of the lump sum charges of RCLA contracts. Consequently, the authors employ an elegant numerical scheme, finite difference method, for solving the PIDEs for the reference portfolio, as well as the volatility. The findings...
