financials_BMOP2011: BMOP2011 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 BMOP2011 - 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. [BMOP2011] Bacinello A.R., Millossovich P., Olivieri A. e Pitacco E. "Variable annuities: a unifying valuation approach." In: Insurance: Mathematics and Economics 49 (2011), pp. 285-297.

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