Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889)
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scientific article; zbMATH DE number 7712308
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| English | Impact of rough stochastic volatility models on long-term life insurance pricing |
scientific article; zbMATH DE number 7712308 |
Statements
Impact of rough stochastic volatility models on long-term life insurance pricing (English)
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13 July 2023
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rough volatility
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long-term volatility modeling
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equity-linked endowment valuation
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SSVI parametrization
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long-term option pricing
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model calibration
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0.7824994325637817
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0.7506369352340698
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0.7343066334724426
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0.7269180417060852
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0.7269179821014404
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