{"id":"https://openalex.org/W3215167997","doi":"https://doi.org/10.1007/s10287-018-0304-2","title":"Pricing and hedging GMWB in the Heston and in the Black\u2013Scholes with stochastic interest rate models","display_name":"Pricing and hedging GMWB in the Heston and in the Black\u2013Scholes with stochastic interest rate models","publication_year":2018,"publication_date":"2018-03-20","ids":{"openalex":"https://openalex.org/W3215167997","doi":"https://doi.org/10.1007/s10287-018-0304-2","mag":"3215167997"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-018-0304-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-018-0304-2","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1602.09078","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5057898803","display_name":"Ludovic Gouden\u00e8ge","orcid":"https://orcid.org/0000-0002-6449-5888"},"institutions":[{"id":"https://openalex.org/I4210107720","display_name":"CentraleSup\u00e9lec","ror":"https://ror.org/019tcpt25","country_code":"FR","type":"facility","lineage":["https://openalex.org/I277688954","https://openalex.org/I4210107720"]},{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I216852786","display_name":"\u00c9cole Centrale Paris","ror":"https://ror.org/00v0y5771","country_code":"FR","type":"education","lineage":["https://openalex.org/I216852786"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Ludovic Goudenege","raw_affiliation_strings":["CNRS FR3487, F\u00e9d\u00e9ration de Math\u00e9matiques de CentraleSup\u00e9lec, Gif-sur-Yvette, France","F\u00e9d\u00e9ration de Math\u00e9matiques de l'Ecole Centrale Paris"],"affiliations":[{"raw_affiliation_string":"CNRS FR3487, F\u00e9d\u00e9ration de Math\u00e9matiques de CentraleSup\u00e9lec, Gif-sur-Yvette, France","institution_ids":["https://openalex.org/I4210107720","https://openalex.org/I1294671590"]},{"raw_affiliation_string":"F\u00e9d\u00e9ration de Math\u00e9matiques de l'Ecole Centrale Paris","institution_ids":["https://openalex.org/I216852786"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5013935166","display_name":"Andrea Molent","orcid":null},"institutions":[{"id":"https://openalex.org/I122534668","display_name":"Marche Polytechnic University","ror":"https://ror.org/00x69rs40","country_code":"IT","type":"education","lineage":["https://openalex.org/I122534668"]},{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Andrea Molent","raw_affiliation_strings":["Dipartimento di Management, Univerist\u00e0 Politecnica delle Marche, Ancona, Italy","Universit\u00e0 degli Studi di Udine - University of Udine [Italie]"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Management, Univerist\u00e0 Politecnica delle Marche, Ancona, Italy","institution_ids":["https://openalex.org/I122534668"]},{"raw_affiliation_string":"Universit\u00e0 degli Studi di Udine - University of Udine [Italie]","institution_ids":["https://openalex.org/I129043915"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043863727","display_name":"Antonino Zanette","orcid":"https://orcid.org/0000-0001-5958-9014"},"institutions":[{"id":"https://openalex.org/I129043915","display_name":"University of Udine","ror":"https://ror.org/05ht0mh31","country_code":"IT","type":"education","lineage":["https://openalex.org/I129043915"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Antonino Zanette","raw_affiliation_strings":["Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 di Udine, Udine, Italy","Universit\u00e0 degli Studi di Udine - University of Udine [Italie]","Mathematical Risk Handling"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Scienze Economiche e Statistiche, Universit\u00e0 di Udine, Udine, Italy","institution_ids":["https://openalex.org/I129043915"]},{"raw_affiliation_string":"Universit\u00e0 degli Studi di Udine - University of Udine [Italie]","institution_ids":["https://openalex.org/I129043915"]},{"raw_affiliation_string":"Mathematical Risk Handling","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5057898803"],"corresponding_institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I216852786","https://openalex.org/I4210107720"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":2.8064,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.91150747,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"16","issue":"1-2","first_page":"217","last_page":"248"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9758999943733215,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9689000248908997,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.7929985523223877},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.6802734136581421},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6131578087806702},{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.5963840484619141},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.536211371421814},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.5077798962593079},{"id":"https://openalex.org/keywords/short-rate-model","display_name":"Short-rate model","score":0.4896095395088196},{"id":"https://openalex.org/keywords/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.46896660327911377},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.45896175503730774},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.4577327072620392},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.44968289136886597},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.43413305282592773},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.4280160069465637},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4158569276332855},{"id":"https://openalex.org/keywords/call-option","display_name":"Call option","score":0.41001901030540466},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3993913531303406},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.38398346304893494},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.30596399307250977},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.12964659929275513},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11466071009635925},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.10895124077796936}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.7929985523223877},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.6802734136581421},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6131578087806702},{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.5963840484619141},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.536211371421814},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5077798962593079},{"id":"https://openalex.org/C93246554","wikidata":"https://www.wikidata.org/wiki/Q4162534","display_name":"Short-rate model","level":3,"score":0.4896095395088196},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.46896660327911377},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.45896175503730774},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.4577327072620392},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.44968289136886597},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.43413305282592773},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4280160069465637},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4158569276332855},{"id":"https://openalex.org/C2777600642","wikidata":"https://www.wikidata.org/wiki/Q1508707","display_name":"Call option","level":2,"score":0.41001901030540466},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3993913531303406},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.38398346304893494},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.30596399307250977},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12964659929275513},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11466071009635925},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10895124077796936}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s10287-018-0304-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-018-0304-2","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1602.09078","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1602.09078","pdf_url":"https://arxiv.org/pdf/1602.09078","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:HAL:hal-01940715v1","is_oa":false,"landing_page_url":"https://hal.science/hal-01940715","pdf_url":null,"source":{"id":"https://openalex.org/S4406922466","display_name":"SPIRE - Sciences Po Institutional REpository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Computational Management Science, 2019, 16 (1-2), pp.217-248. &#x27E8;10.1007/s10287-018-0304-2&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:spr:comgts:v:16:y:2019:i:1:d:10.1007_s10287-018-0304-2","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-018-0304-2","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:air.uniud.it:11390/1078672","is_oa":false,"landing_page_url":"http://hdl.handle.net/11390/1078672","pdf_url":null,"source":{"id":"https://openalex.org/S4306401163","display_name":"Institutional Research Information System (University of Udine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I129043915","host_organization_name":"University of Udine","host_organization_lineage":["https://openalex.org/I129043915"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"internazionale"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1602.09078","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1602.09078","pdf_url":"https://arxiv.org/pdf/1602.09078","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5400000214576721}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W19430180","https://openalex.org/W89900883","https://openalex.org/W1482679775","https://openalex.org/W1519519774","https://openalex.org/W1657501302","https://openalex.org/W1816178435","https://openalex.org/W1971947347","https://openalex.org/W1972807868","https://openalex.org/W1983886831","https://openalex.org/W1987165415","https://openalex.org/W1997780371","https://openalex.org/W2017809994","https://openalex.org/W2031958274","https://openalex.org/W2043735250","https://openalex.org/W2051608681","https://openalex.org/W2064978316","https://openalex.org/W2065451462","https://openalex.org/W2080087538","https://openalex.org/W2089959962","https://openalex.org/W2097412029","https://openalex.org/W2101058764","https://openalex.org/W2107573399","https://openalex.org/W2126311658","https://openalex.org/W2150174913","https://openalex.org/W2151162365","https://openalex.org/W2155664708","https://openalex.org/W2159823040","https://openalex.org/W2166371754","https://openalex.org/W2261958352","https://openalex.org/W2284947900","https://openalex.org/W2286171594","https://openalex.org/W2299613315","https://openalex.org/W2428616327","https://openalex.org/W2507859025","https://openalex.org/W2744945495","https://openalex.org/W2786676876","https://openalex.org/W2889746625","https://openalex.org/W2953129309","https://openalex.org/W2956412360","https://openalex.org/W3124027991","https://openalex.org/W3124786524","https://openalex.org/W3124792404","https://openalex.org/W3125083149","https://openalex.org/W3125728648","https://openalex.org/W4230445183","https://openalex.org/W4298224527","https://openalex.org/W4302769929"],"related_works":["https://openalex.org/W2948275748","https://openalex.org/W1898510065","https://openalex.org/W3165170969","https://openalex.org/W3123770599","https://openalex.org/W3038365026","https://openalex.org/W3019317279","https://openalex.org/W4386788122","https://openalex.org/W4315701391","https://openalex.org/W4380354347","https://openalex.org/W3123282370"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2021-12-06T00:00:00"}
