Cargando…
Impact of rough stochastic volatility models on long-term life insurance pricing
The Rough Fractional Stochastic Volatility (RFSV) model of Gatheral et al. (Quant Financ 18(6):933–949, 2014) is remarkably consistent with financial time series of past volatility data as well as with the observed implied volatility surface. Two tractable implementations are derived from the RFSV w...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243767/ https://www.ncbi.nlm.nih.gov/pubmed/35789760 http://dx.doi.org/10.1007/s13385-022-00317-1 |