EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS (Q5140085): Difference between revisions

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Revision as of 04:24, 24 July 2024

scientific article; zbMATH DE number 7285047
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English
EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS
scientific article; zbMATH DE number 7285047

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    EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS (English)
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    13 December 2020
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    variable annuity portfolio
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    nested simulation
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    balanced sampling
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    spline regression
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    dynamic hedging
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