2 papers
q-fin.MF2026
Option pricing under non-Markovian stochastic volatility models: A deep signature approach
Jingtang Ma, Xianglin Wu, Wenyuan Li
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face signi…
q-fin.CP2026
Valuation of variable annuities under the Volterra mortality and rough Heston models
Wenyuan Li, Haoqi Lyu
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed…