Table 1 The baseline parameters
From: Variational inequality arising from variable annuity with mean reversion environment
Parameter | Value | Parameter | Value |
|---|---|---|---|
T − t | 5 | r | 0.04 |
κ | 0.02 | σ | 0.2 |
θ | log20 | G | 20 |
From: Variational inequality arising from variable annuity with mean reversion environment
Parameter | Value | Parameter | Value |
|---|---|---|---|
T − t | 5 | r | 0.04 |
κ | 0.02 | σ | 0.2 |
θ | log20 | G | 20 |