A MATHEMATICAL FORMULATION FOR PRICING OF GUARANTEED MINIMUM WITHDRAWAL BENEFIT

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Mahzarnia A.; Safdari Vaighani A.

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Seminar Paper

Paper Information

Seminar: IRANIAN CONFERENCE ON APPLIED MATHEMATICS
Year:2013 | Issue:5

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Title

A MATHEMATICAL FORMULATION FOR PRICING OF GUARANTEED MINIMUM WITHDRAWAL BENEFIT

Author(s)

Mahzarnia A. | Safdari Vaighani A. | Issue Writer Certificate

Keywords

GMWB

DERIVATIVE

BROWNIAN MOTION

CALL OPTION

Abstract

THIS PAPER CONTAINS BASIC INFORMATION ABOUT A SPECIAL AND POPULAR INSURANCE CONTRACT WHAT IS CALLED “GUARANTEED MINIMUM WITHDRAWAL BENEFIT” (GMWB). AFTER INTRODUCING THE MENTIONED CONTRACT AS A FINANCIAL DERIVATIVE, PRICING OF THIS CONTRACT WILL BE STATED BY LINKING THIS DERIVATIVE TO OTHER FINANCIAL MATHEMATICS DEFINITION SUCH AS DISCRETE TIME ASSUMPTION AND CALL OPTION WHAT IS RELATED TO DIFFERENTIAL EQUATION OF STOCK PRICE USING BROWNIAN MOTION AS THE STOCHASTIC TERM. IN ADDITION, COMPARING BETWEEN CONSEQUENCES OF DISCRETE TIME ASSUMPTION AND CONTINUOUS TIME ASSUMPTION WILL BE STUDIED.

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APA: Copy

Mahzarnia, A., & Safdari Vaighani, A.. (2013). A MATHEMATICAL FORMULATION FOR PRICING OF GUARANTEED MINIMUM WITHDRAWAL BENEFIT. IRANIAN CONFERENCE ON APPLIED MATHEMATICS. SID. https://sid.ir/paper/938516/en

Vancouver: Copy

Mahzarnia A., Safdari Vaighani A.. A MATHEMATICAL FORMULATION FOR PRICING OF GUARANTEED MINIMUM WITHDRAWAL BENEFIT. 2013. Available from: https://sid.ir/paper/938516/en

IEEE: Copy

A. Mahzarnia, and A. Safdari Vaighani, “A MATHEMATICAL FORMULATION FOR PRICING OF GUARANTEED MINIMUM WITHDRAWAL BENEFIT,” presented at the IRANIAN CONFERENCE ON APPLIED MATHEMATICS. 2013, [Online]. Available: https://sid.ir/paper/938516/en

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