Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544): Difference between revisions

A system of three stochastic differential equations used to model the fair insurance fee is studied. Using perturbation techniques an asymptotic solution is determined. Comparison with simulation-based results is given.

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reviewed by

Piotr Biler

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zbMATH Keywords

multiscale stochastic volatility

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variable annuity

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surrender option

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fair insurance fee

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s13160-022-00510-5

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cites work

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

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Valuation of guaranteed annuity conversion options.

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Optimal surrender policy for variable annuity guarantees

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THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS

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Randomization and the American Put

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Alternative models for stock price dynamics.

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Equity-linked annuities with multiscale hybrid stochastic and local volatility

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

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VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS

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Multiscale Stochastic Volatility Asymptotics

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Singular Perturbations in Option Pricing

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

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Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

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OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE

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Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

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ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Q3378055

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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

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Fair valuation of participating policies with surrender options and regime switching

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Operators associated with the Hermite semigroup - a survey

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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

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Lookback options and dynamic fund protection under multiscale stochastic volatility

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Identifiers

zbMATH Open document ID

1506.35245

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DOI

10.1007/s13160-022-00510-5

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2111544

@@ Property / cites work @@
+American options under stochastic volatility: control variates, maturity randomization &amp; multiscale asymptotics
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed annuity conversion options.
+Normal rank
@@ Property / cites work @@
+Optimal surrender policy for variable annuity guarantees
+Normal rank
@@ Property / cites work @@
+THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Equity-linked annuities with multiscale hybrid stochastic and local volatility
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
+Normal rank
@@ Property / cites work @@
+VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
+Normal rank
@@ Property / cites work @@
+Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
+Normal rank
@@ Property / cites work @@
+OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE
+Normal rank
@@ Property / cites work @@
+Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
+Normal rank
@@ Property / cites work @@
+ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
+Normal rank
@@ Property / cites work @@
+Fair valuation of participating policies with surrender options and regime switching
+Normal rank
@@ Property / cites work @@
+Operators associated with the Hermite semigroup - a survey
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
+Normal rank
@@ Property / cites work @@
+Lookback options and dynamic fund protection under multiscale stochastic volatility
+Normal rank