Variable annuity with a surrender option under multiscale stochastic volatility
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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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Cited in
(4)- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Variational inequality arising from variable annuity with mean reversion environment
- Pricing power options under stochastic volatility
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