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Reference:VariableAnnuityConstantInterestRate

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VA Price

Analytic solution

An analytic solution is available:

Results

GMAB

Location

/Reference/EuropeanPut/EquityOptions.thetaml


Result Data

Strike (K) Initial Stock Price (S0) Interest Rate (r) Volatility (sigma) Price Reference TimeGrid Monte Carlo Samples n mean(V), 100 pricings error estimate
100 100 0.05 0.4 13.1459 [0,1] 10000 13.1454 +- 0.0134

European Call

Location

/Reference/EuropeanCall/EquityOptions.thetaml


Result Data

Strike (K) Initial Stock Price (S0) Interest Rate (r) Volatility (sigma) Price Reference TimeGrid Monte Carlo Samples n mean(V), 100 pricings error estimate
100 100 0.05 0.4 18.0230 [0,1] 10000 18.0230 +- 0.134