42 citations · 43 across the 12 of their papers we have counts for
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q-fin.CP2022
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Zhenyu Cui, Anne MacKay, Marie-Claude Vachon
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, -Hypergeometric, $3…
q-fin.MF2022
Delta family approach for the stochastic control problems of utility maximization
Jingtang Ma, Zhengyang Lu, Zhenyu Cui
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equati…