Variational inequality arising from variable annuity with mean reversion environment

DOI10.1186/S13660-023-03015-YOpenAlexW4385554193MaRDI QIDQ6142192FDOQ6142192

Authors: Junkee Jeon, Geonwoo Kim 

Publication date: 21 December 2023

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-023-03015-y

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zbMATH Keywords

variable annuityvariational inequalitymean reversionoptimal surrender boundary

Mathematics Subject Classification ID

Variational inequalities (49J40)

Cites Work

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• Option pricing with Mellin transforms
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• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• Perpetual game options with a multiplied penalty

Cited In (1)

• On the American style futures contracts

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