Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Anne MacKay, Marie-Claude Vachon and Zhenyu Cui
| Year of publication: |
2023
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|---|---|
| Authors: | MacKay, Anne ; Vachon, Marie-Claude ; Cui, Zhenyu |
| Subject: | American options | Continuous-time Markov chain | Heston model | Optimal stopping | Stochastic volatility | Variable annuities | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Private Altersvorsorge | Private retirement provision |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2215278 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014321664