Impact of rough stochastic volatility models on long-term life insurance pricing
From MaRDI portal
Publication:6173889
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
model calibrationrough volatilityequity-linked endowment valuationlong-term option pricinglong-term volatility modelingSSVI parametrization
Related Items (1)
Cites Work
- Unnamed Item
- On calibration of stochastic and fractional stochastic volatility models
- Consistent variance curve models
- Mortality modelling with Lévy processes
- Perfect hedging in rough Heston models
- Full and fast calibration of the Heston stochastic volatility model
- Fractional {O}rnstein-{U}hlenbeck processes
- Affine forward variance models
- Large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes
- Long memory in continuous-time stochastic volatility models
- Arbitrage-free SVI volatility surfaces
- Asymptotics for Rough Stochastic Volatility Models
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Modelling and management of mortality risk: a review
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- Pricing under rough volatility
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES
- Lifting the Heston model
- A comparison of biased simulation schemes for stochastic volatility models
- Multifactor Approximation of Rough Volatility Models
- Short-time near-the-money skew in rough fractional volatility models
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
- Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet
- Fractional Brownian Motions, Fractional Noises and Applications
- The characteristic function of rough Heston models
- Hybrid scheme for Brownian semistationary processes
This page was built for publication: Impact of rough stochastic volatility models on long-term life insurance pricing
