Pricing and hedging of variable annuities with state-dependent fees (Q2513614)
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scientific article; zbMATH DE number 6391849
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing and hedging of variable annuities with state-dependent fees |
scientific article; zbMATH DE number 6391849 |
Statements
Pricing and hedging of variable annuities with state-dependent fees (English)
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28 January 2015
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quadratic optimization
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incomplete market
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Lévy process
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backward stochastic differential equations
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Lévy clayton copula
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0.8886374
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0.87696874
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0.8727436
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0.8709953
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0.86375004
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0.8569932
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0.85572696
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