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20172026
most citedDual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model

3 citations · 3 across the 3 of their papers we have counts for

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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…