Pricing guaranteed annuity options in a linear-rational Wishart mortality model
提出线性有理Wishart模型，联合建模死亡率和利率风险，给出生存债券和保证年金期权的闭式解，便于实际定价。
This paper proposes a new model, the linear-rational Wishart model, which allows the joint modelling of mortality and interest rate risks. Within this framework, we obtain closed-form solutions for the survival bond and the survival floating rate bond. We also derive a closed-form solution for the guaranteed annuity option, i.e., an option on a sum of survival (floating rate) bonds, which can be computed explicitly up to a one-dimensional numerical integration, independent of the model dimension. Using realistic parameter values, we provide a model implementation for these complex derivatives that illustrates the flexibility and efficiency of the linear-rational Wishart model.