Structured products
Assignment2
结构化产品代写 1. In addition to your own project, write down the major solution steps of the other five projects. 2. Consider the guaranteed minimum withdrawal
1. 结构化产品代写
In addition to your own project, write down the major solution steps of the other five projects.
2. 结构化产品代写
Consider the guaranteed minimum withdrawal benefit (GMWB).Present the partial differential equation pricing model and the implicit finite difference method with suitable terminal and boundary conditions, where the upwind scheme, if necessary, should be used.
(i) Consider static and continuous-time withdrawals.
(ii) Consider dynamic and discrete withdrawal.
3. 结构化产品代写
Consider mortgage-backed securities.
(i) Write down the Stanton’s model, where the risk-neutral short-term interest rate is assumed to follow the CIR process, namely,
and give the corresponding boundary conditions when using finite difference method.
