Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

DOI10.1080/14697688.2023.2215278zbMath1522.91280arXiv2207.14793OpenAlexW4380537315MaRDI QIDQ6053120

Anne MacKay, Unnamed Author, Zhen-Yu Cui

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.14793

zbMATH Keywords

optimal stoppingstochastic volatilityAmerican optionscontinuous-time Markov chainHeston modelvariable annuities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

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