EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS (Q5140085)
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scientific article; zbMATH DE number 7285047
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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