Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
Author:
Affiliation:
1. School of Business, Stevens Institute of Technology, Hoboken, New Jersey
2. Department of Mathematics, University of Illinois at Urbana-Champaign, Urbana, Illinois
3. Department of Mathematics, Université du Québec à Montréal, Montréal, Canada
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10920277.2017.1307765
Reference35 articles.
1. Maximum likelihood estimation of stochastic volatility models
2. Delta-Hedged Gains and the Negative Market Volatility Risk Premium
3. Reducing Surrender Incentives Through Fee Structure in Variable Annuities
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