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
|
|---|---|
| Authors: | MacKay, Anne ; Vachon, Marie-Claude ; Cui, Zhenyu |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 7/8, p. 1055-1078
|
| 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 |
| 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