Equity-linked annuities with multiscale hybrid stochastic and local volatility

DOI10.1080/03461238.2014.955048zbMath1401.91115OpenAlexW2022977901MaRDI QIDQ4576978

Sun-Yong Choi, Jeong-Hoon Kim

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.955048

zbMATH Keywords

stochastic volatilitymultiscaleconstant elasticity of varianceequity-linked annuity

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model ⋮ Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach ⋮ Variable annuity with a surrender option under multiscale stochastic volatility

Cites Work

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• Pricing Annuity Guarantees Under a Regime-Switching Model
• On the computation of option prices and Greeks under the CEV model
• Option pricing under hybrid stochastic and local volatility
• Valuing Equity-Indexed Annuities
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