Move-based hedging of variable annuities: a semi-analytic approach (Q2374095): Difference between revisions

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+Measuring the error of dynamic hedging: a Laplace transform approach
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+The Pricing of Options and Corporate Liabilities
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+Reserving for maturity guarantees: Two approaches
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+Randomization and the American Put
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+OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
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+An Improved Method for Numerical Inversion of Laplace Transforms
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+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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+Double barrier hitting time distributions with applications to exotic options
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+An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
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+Crossing probabilities for diffusion processes with piecewise continuous boundaries
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+THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
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