Pricing and hedging of variable annuities with state-dependent fees
Łukasz Delong
| Year of publication: |
2014
|
|---|---|
| Authors: | Delong, Łukasz |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 24-33
|
| Subject: | Quadratic optimization | Incomplete market | Lévy process | Backward stochastic differential equations | Lévy Clayton copula | Hedging | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Multivariate Verteilung | Multivariate distribution | Analysis | Mathematical analysis | Finanzmathematik | Mathematical finance |
| 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/10010437640