Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Alexander Melnikov and Amir Nosrati
| Year of publication: |
2015
|
|---|---|
| Authors: | Melʹnikov, Aleksandr V. ; Nosrati, Amir |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 7, p. 1-28
|
| Subject: | Efficient hedging | nonsmooth convex duality | Frechet derivative | Gateaux derivative | default time | superhedging | equity-linked life insurance contract | Hedging | Lebensversicherung | Life insurance | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011404363