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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 fo
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