smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2026SMQ / 193907650011255
Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model
Andrea Molent / Antonino Zanette / Ludovic Goudenege / Xiao Wei
numerical methods / stochastic processesResource overview

Market-Informed Valuation of GMMB Riders with Surrender Options under a Heston Stochastic-Local Volatility Model

Paper2026

by Andrea Molent, Antonino Zanette, Ludovic Goudenege, Xiao Wei

Tags
numerical methodsstochastic processesvolatility surface

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Andrea Molent, Antonino Zanette, Ludovic Goudenege, Xiao Wei

6