no code implementations • 11 Apr 2024 • Ludovic Goudenège, Andrea Molent, Xiao Wei, Antonino Zanette
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a L\'evy equity market environment by incorporating a stochastic interest rate described by the Hull-White model.
no code implementations • 10 May 2023 • Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs.
no code implementations • 14 Sep 2022 • Ludovic Goudenege, Andrea Molent, Antonino Zanette
Moreover, the use of numerical techniques, such as control variates, turns out to be a powerful tool to improve the accuracy of the proposed methods.
no code implementations • 25 Aug 2021 • Ludovic Goudenège, Andrea Molent, Antonino Zanette
Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying observed on a moving window so, when a long window is considered, the pricing problem becomes high dimensional.
no code implementations • 22 May 2019 • Ludovic Goudenège, Andrea Molent, Antonino Zanette
The two methods mainly differ in the approach used to compute the continuation value: a single step of binomial tree or integration according to the probability density of the process.