Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling
Alexander Melnikov and Shuo Tong
| Year of publication: |
2014
|
|---|---|
| Authors: | Melnikov, Alexander ; Tong, Shuo |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 5.2014, 1, p. 23-41
|
| Subject: | Efficient hedging | equity-linked life insurance | stochastic interest rate | Hedging | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Versicherungsmathematik | Actuarial mathematics | Zinsrisiko | Interest rate risk | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| 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/10010492598