Ludovic Goudenège, Andrea Molent, Antonino Zanette. Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Comput. Manag. Science, 16(1-2):217-248, 2019. [doi]
@article{GoudenegeMZ19,
title = {Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models},
author = {Ludovic Goudenège and Andrea Molent and Antonino Zanette},
year = {2019},
doi = {10.1007/s10287-018-0304-2},
url = {https://doi.org/10.1007/s10287-018-0304-2},
researchr = {https://researchr.org/publication/GoudenegeMZ19},
cites = {0},
citedby = {0},
journal = {Comput. Manag. Science},
volume = {16},
number = {1-2},
pages = {217-248},
}