Impact of rough stochastic volatility models on long-term life insurance pricing

DOI10.1007/s13385-022-00317-1zbMath1518.91218OpenAlexW4283529070MaRDI QIDQ6173889

Jean-Loup Dupret, Jérôme Barbarin, Donatien Hainaut

Publication date: 13 July 2023

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

Full work available at URL: https://doi.org/10.1007/s13385-022-00317-1

zbMATH Keywords

model calibrationrough volatilityequity-linked endowment valuationlong-term option pricinglong-term volatility modelingSSVI parametrization

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (1)

Pricing of spread and exchange options in a rough jump-diffusion market

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