financials_BMOP2011: BMOP2011 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 BMOP2011 - 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
[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.
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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 BMOP2011 - 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
[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.
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.
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