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Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets

by X. Sheldon Lin and Shuai Yang
Year of publication:
2020
Authors: Lin, X. Sheldon ; Yang, Shuai
Subject: balanced sampling | dynamic hedging | nested simulation | spline regression | Variable annuity portfolio | Hedging | Portfolio-Management | Portfolio selection | Simulation | Private Altersvorsorge | Private retirement provision | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory
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