Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544)
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scientific article; zbMATH DE number 7642715
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| English | Variable annuity with a surrender option under multiscale stochastic volatility |
scientific article; zbMATH DE number 7642715 |
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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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0.9049179
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0.89894843
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0.8959257
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0.8910309
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0.88975286
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0.88415337
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0.8833804
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0.8793994
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