Cross-hedging minimum return guarantees: Basis and liquidity risks
Year of publication: |
2014
|
---|---|
Authors: | Ankirchner, Stefan ; Schneider, Judith C. ; Schweizer, Nikolaus |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 41.2014, C, p. 93-109
|
Publisher: |
Elsevier |
Subject: | Basis risk | Least-squares Monte Carlo | Liquidity risk | Periodic premia | Variable annuities |
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