no code implementations • 10 Mar 2024 • Marie-Claude Vachon, Anne MacKay
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes.
no code implementations • 6 Nov 2023 • Anne MacKay, Marie-Claude Vachon
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption that the policyholder's surrender behaviour maximizes the risk-neutral value of the contract.
no code implementations • 29 Jul 2022 • Zhenyu Cui, Anne MacKay, Marie-Claude Vachon
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models.
