Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120)
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scientific article; zbMATH DE number 7742093
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation |
scientific article; zbMATH DE number 7742093 |
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (English)
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25 September 2023
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variable annuities
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optimal stopping
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American options
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stochastic volatility
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Heston model
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continuous-time Markov chain
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