Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variable annuity with a surrender option under multiscale stochastic volatility |
scientific article |
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Variable annuity with a surrender option under multiscale stochastic volatility (English)
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17 January 2023
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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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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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