Cross-hedging minimum return guarantees: basis and liquidity risks (Q1994419)
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scientific article; zbMATH DE number 6970340
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Cross-hedging minimum return guarantees: basis and liquidity risks |
scientific article; zbMATH DE number 6970340 |
Statements
Cross-hedging minimum return guarantees: basis and liquidity risks (English)
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1 November 2018
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basis risk
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least-squares Monte Carlo
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liquidity risk
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periodic premia
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variable annuities
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0.7963154911994934
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0.7616056203842163
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0.7515742182731628
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0.7462382316589355
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0.7402352690696716
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