Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
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: | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Private Altersvorsorge | Private retirement provision |
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