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• W2071323616 abstract "Abstract The Guaranteed Minimum Withdrawal Benefit (GMWB) is an option embedded in a variable annuity that guarantees the policyholder to get the initial investment back by making periodic withdrawals regardless of the impact of poor market performance. In the paper we discuss methods of pricing and hedging of some versions of GMWBs. In particular we develop a method of constructing semi-static hedging strategies that offer several advantages over dynamic hedging. The idea is to first find the closest path-independent option to the guarantee, or its liability part, and then to construct a portfolio of traded European options that approximates the optimal option. This strategy requires fewer portfolio adjustments than delta hedging and outperforms the latter when there are random jumps in the underlying price. We illustrate the proposed method with numerical examples." @default.
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• W2071323616 date "2012-01-01" @default.
• W2071323616 modified "2023-10-14" @default.
• W2071323616 title "Semi-Static Hedging for GMWB in Variable Annuities" @default.
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• W2071323616 doi "https://doi.org/10.1080/10920277.2012.10590635" @default.
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