Skip to content

Author

M. Gaudenzi

1 paper indexed here

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

Preprint Sep 2026

Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts

We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and death guarantees, and Bermudan surrender under correlated stochastic volatility and stochastic interest rates. The main computational chall...

Andrea Molent, M. Gaudenzi · 0 citations

We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.