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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
The Effects Of Model Selection
On The Guarantees On Target Volatility Funds |
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Authors: |
Gabor
Kondor |
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Published in:
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(2018). ECMS 2018
Proceedings Edited by: Lars Nolle, Alexandra
Burger, Christoph Tholen,
Jens Werner, Jens Wellhausen European Council for
Modeling and Simulation. doi:
10.7148/2018-0005 ISSN:
2522-2422 (ONLINE) ISSN:
2522-2414 (PRINT) ISSN:
2522-2430 (CD-ROM) 32nd European Conference on Modelling and Simulation, Wilhelmshaven, Germany, May 22nd
– May 265h, 2018 |
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Citation
format: |
Gabor
Kondor (2018). The Effects Of Model Selection On
The Guarantees On Target Volatility Funds, ECMS
2018 Proceedings Edited by: Lars Nolle, Alexandra
Burger, Christoph Tholen,
Jens Werner, Jens Wellhausen European Council for
Modeling and Simulation. doi:
10.7148/2018-0060 |
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DOI: |
https://doi.org/10.7148/2018-0060 |
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Abstract: |
Target Volatility Funds are becoming a
more and more popular asset class amongst Variable Annuity product designers.
After the recent global crisis these funds provided a decent way to assure
the guarantees that investors find so attractive. However, pricing of these
guarantees highly depends on the modelling
assumptions we use. Although this is an exciting and demanding problem, not
much attention has been shed on this topic in the academic literature. In my
work I extend some of the existing results to the Barndorff-Nielsen–Shephard model and to a Lévy-process with stochastic time. |
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Full
text: |
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