Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (Q3144061)
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scientific article; zbMATH DE number 6113304
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| English | Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance |
scientific article; zbMATH DE number 6113304 |
Statements
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (English)
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6 December 2012
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backward stochastic differential equations
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asset-liability management
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participating contracts
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variable annuities
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capital-protected investments
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performance-linked pay-offs
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0.7541560530662537
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0.7530016899108887
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0.7449602484703064
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0.7418490052223206
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