Variable annuity with a surrender option under multiscale stochastic volatility

DOI10.1007/s13160-022-00510-5zbMath1506.35245OpenAlexW4225279969MaRDI QIDQ2111544

Kyunghyun Park, Junkee Jeon, Jeonggyu Huh

Publication date: 17 January 2023

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-022-00510-5

zbMATH Keywords

surrender optionvariable annuityfair insurance feemultiscale stochastic volatility

Mathematics Subject Classification ID

Perturbations in context of PDEs (35B20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)

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