December 2013
Intermediate to advanced
484 pages
14h 54m
English
Content preview from Nonlinear Option Pricing
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222 The Uncertain Lapse and Mortality Model
Figure 8.15: Optimal lapse frontier in the time–price plane for the GMxB
with variable fee and variable put nominal. Up-and-out barriers: 110, 120,
130, 140, 150. Up: using Monte Carlo. Bottom: using PDE. The parameters
are as in Figure 8.13.
Conclusion 223
Figure 8.16: Optimal mortality frontier in the time–price plane for the
GMxB with variable fee and variable put nominal. Up-and-out barriers: 110,
120, 130, 140, 150. Up: using Monte Carlo. Bottom: using PDE. The param-
eters are as in Figure 8.13.
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