financials_BBM2010: BBM2010 financial processes
In valuer: Pricing of Variable Annuities
Description
Usage
Format
References
Description
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.
Usage
1
Format
A list with elements:
- [[1]]
List of parameters for simulate
- [[2]]
List of parameters for setModel
- [[3]]
Vector with indices indicating the interest rate and log price
in solve.variable setModel
References
[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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Format References
Description
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.
Usage
1 |
Format
A list with elements:
- [[1]]
List of parameters for
simulate- [[2]]
List of parameters for
setModel- [[3]]
Vector with indices indicating the interest rate and log price in solve.variable
setModel
References
[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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.