Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704)
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scientific article; zbMATH DE number 6858901
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| English | Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates |
scientific article; zbMATH DE number 6858901 |
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Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (English)
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12 April 2018
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variable annuities
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optimal surrender
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GMMB
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stochastic volatility
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stochastic interest rates
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method of lines
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dynamic hedging
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0.872159481048584
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0.8549656271934509
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0.8508394360542297
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0.8449585437774658
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