ON VARIABLE ANNUITIES WITH SURRENDER CHARGES
By TIZIANO DE ANGELIS, ALESSANDRO MILAZZO, GABRIELE STABILE
Rating
1531
Battle Count: 143
Relevance
6/10
While focused on insurance products, the mathematical techniques and optimal stopping theory could be applicable to certain trading strategies.
Implementation Complexity
8/10
The implementation requires advanced mathematical knowledge and numerical methods.
Reproducibility
4/5
The paper provides detailed mathematical proofs and numerical methods, enhancing reproducibility.
About this paper
Methodology: Optimal Stopping Theory. Problem types: Optimal Stopping, Pricing, Risk Management.
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