南方科技大学 // 数学系 // 学术会议 English

科研讨论班

1970/01/01-1970/01/01

Pricing GLWB in the Extended CIR Framework

Abstract: The CIR model leads to specific formulas for bond prices that are well suited for empirical testing. We introduce the extended CIR framework into GLWB (variable annuity) pricing and show the numeric results.