insurance contracts a stochastic volatility model for equity prices would be more suitable. In this paper closed form … expressions are derived for prices of guaranteed annuity options assuming stochastic volatility for equity prices and either a 1 …-factor or 2-factor Gaussian interest rate model. The results indicate that the impact of ignoring stochastic volatility can …

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …