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Quantitative Finance Volume 23, 2023 - Issue 7-8

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Research Papers

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

Anne MacKay† Département de mathématiques, Université de Sherbooke, Sherbrooke, Canada;‡ Département de mathématiques, Université du Québec à Montréal, Montréal, CanadaCorrespondence[email protected]

https://orcid.org/0000-0002-8495-1983 View further author information

Marie-Claude Vachon‡ Département de mathématiques, Université du Québec à Montréal, Montréal, CanadaView further author information

Zhenyu Cui§ School of Business, Stevens Institute of Technology, Hoboken, NJ07030, USA

https://orcid.org/0000-0001-9429-7121 View further author information

Pages 1055-1078 | Received 08 Aug 2022, Accepted 05 May 2023, Published online: 13 Jun 2023

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https://doi.org/10.1080/14697688.2023.2215278
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