Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
在Wishart多维随机波动率模型和Wishart仿射随机相关模型中，推导了路径依赖最低保证到期收益的期权定价闭式解，仅需一维积分，并计算了所有参数敏感性，为产品定价和风险管理提供快速准确的框架。
This paper presents the pricing of a path-dependent guaranteed minimum maturity benefit in the Wishart multidimensional stochastic volatility model and the Wishart affine stochastic correlation model. We derive a closed-form solution for the option price in these two models, requiring only the computation of a one-dimensional integration. Thanks to the remarkable analytical properties of these models, we also compute all sensitivities of the option price to the model parameters. An implementation illustrates the results, confirms that pricing is fast and accurate, and provides a framework for pricing and risk management of this product in Wishart stochastic volatility models.