Variable annuity with a surrender option under multiscale stochastic volatility
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Cites work
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- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
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- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of participating policies with surrender options and regime switching
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Multiscale Stochastic Volatility Asymptotics
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Operators associated with the Hermite semigroup - a survey
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Optimal surrender policy for variable annuity guarantees
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Randomization and the American put
- Singular Perturbations in Option Pricing
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Valuation of guaranteed annuity conversion options.
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing American options by simulation: a simple least-squares approach
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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