financials_BBM2010: BBM2010 financial processes

Description Usage Format References


List of parameters to initialize a va_sde_engine object to simulate the interest rate, volatility and log price processes according to the stochastic differential equations specified in BBM2010 - See References.




A list with elements:


List of parameters for simulate


List of parameters for setModel


Vector with indices indicating the interest rate and log price in solve.variable setModel


  1. [BBM2010] Bacinello A.R., Biffis E. e Millossovich P. "Regression-based algorithms for life insurance contracts with surrender guarantees". In: Quantitative Finance 10.9 (2010), pp. 1077-1090.

valuer documentation built on May 2, 2019, 3:43 p.m.