Variational inequality arising from variable annuity with mean reversion environment
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Cites work
- A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
- A Mellin transform approach to barrier option pricing
- A new approach for pricing discounted American options
- American strangle options
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- Closed-form pricing formula for exchange option with credit risk
- Efficient valuation of a variable annuity contract with a surrender option
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3376145 (Why is no real title available?)
- 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
- Option pricing with Mellin transforms
- Perpetual game options with a multiplied penalty
- Pricing Asian options in financial markets using Mellin transforms
- Pricing external-chained barrier options with exponential barriers
- Pricing variable annuity with surrender guarantee
- Pricing vulnerable path-dependent options using integral transforms
- The pricing of vulnerable options with double Mellin transforms
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing vulnerable geometric Asian options
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