A general optimization framework for the annuity contracts with multiscale stochastic volatility
This paper develops the annuity contract model in the presence of multiscale stochastic volatility for studying the optimal investment strategy before and after retirement in a defined contribution pension plan where benefits are paid under the form of annuities with a guaranteed payment for a prede...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2017-01-01
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| Series: | Cogent Mathematics |
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| Online Access: | http://dx.doi.org/10.1080/23311835.2017.1385375 |