A deep signature LSMC method prices variable annuities with surrender in non-Markovian rough Heston and Volterra models, with fair fees increasing in Hurst parameters.
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Valuation of variable annuities under the Volterra mortality and rough Heston models
A deep signature LSMC method prices variable annuities with surrender in non-Markovian rough Heston and Volterra models, with fair fees increasing in Hurst parameters.