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On an Optimal Stopping Problem with a Discontinuous Reward
The study investigates the optimal stopping issue in pricing a variable annuity contract, introducing new valuation algorithms and showing how fee and surrender charge functions affect early and optimal surrender boundaries.
Featured in No. 25 on 8 Nov 2023 · 2 days after release · 1 citation today
- Released
- 6 Nov 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
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- Shares when featured
- 2
- Identifier
- doi:10.13140/rg.2.2.36565.40160
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