Bounds for present value functions with stochastic interest rates and stochastic volatility.

DOI10.1016/S0167-6687(02)00126-9zbMath1092.91527OpenAlexW2119713944MaRDI QIDQ1394966

Jan Dhaene, Rob Kaas, David Vyncke, Marc J. Goovaerts, Ann De Schepper

Publication date: 25 June 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00126-9

zbMATH Keywords

Stochastic volatilityStochastic interest ratesPresent value functions

Mathematics Subject Classification ID

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