Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Zhenyu Cui, Runhuan Feng, and Anne MacKay
| Year of publication: |
2017
|
|---|---|
| Authors: | Cui, Zhenyu ; Feng, Runhuan ; MacKay, Anne |
| Published in: |
North American actuarial journal. - Philadelphia, Pa. : Taylor & Francis, ISSN 1092-0277, ZDB-ID 1380138-7. - Vol. 21.2017, 3, p. 458-483
|
| Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/10920277.2017.1307765 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011858078