A general optimization framework for the annuity contracts with multiscale stochastic volatility (Q5193460)
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scientific article; zbMATH DE number 7103241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A general optimization framework for the annuity contracts with multiscale stochastic volatility |
scientific article; zbMATH DE number 7103241 |
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A general optimization framework for the annuity contracts with multiscale stochastic volatility (English)
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10 September 2019
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annuity
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multiscale stochastic volatility
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stochastic optimal control
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Hamilton-Jacobi-Bellman equation
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