Variable annuity with a surrender option under multiscale stochastic volatility
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Publication:2111544
DOI10.1007/s13160-022-00510-5zbMath1506.35245OpenAlexW4225279969MaRDI QIDQ2111544
Kyunghyun Park, Junkee Jeon, Jeonggyu Huh
Publication date: 17 January 2023
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-022-00510-5
Perturbations in context of PDEs (35B20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)
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