学术科研-Pricing GLWB in the Extended CIR Framework

学术科研

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Pricing GLWB in the Extended CIR Framework

演讲者：谢光曜（南方科技大学）
时间：2021-03-20 10:00-11:00
地点：慧园3栋415报告厅

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.