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Author

Antonino Zanette

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Preprint Aug 2026

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

We develop a market-informed valuation framework for guaranteed minimum maturity benefit (GMMB) riders with rational surrender under the Heston stochastic-local volatility (SLV) model. The guarantee is written on the fee-deducted account value and is considered both in its terminal-only form and in the presence of earl...

Ludovic Goudenège, Andrea Molent, Xiao Wei et al. · 0 citations

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