The cointegration of major financial markets around the globe is well evidenced with strong empirical support. This paper considers the continuous-time mean–variance (MV) asset–liability management (ALM) problem for an insurer investing in an incomplete financial market with cointegrated...

Many underlying assets of option contracts, such as currencies, commodities, energy, temperature and even some stocks, exhibit both mean reversion and stochastic volatility. This paper investigates the valuation of options when the underlying asset follows a mean-reverting lognormal process with...