Cross-hedging minimum return guarantees: basis and liquidity risks

DOI10.1016/J.JEDC.2014.02.010MaRDI QIDQ1994419zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Judith C. Schneider, Nikolaus Schweizer

Publication date 1 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.02.010

zbMATH Keywords

basis riskleast-squares Monte Carloliquidity riskperiodic premiavariable annuities

Mathematics Subject Classification ID

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Cites work

• Approximating random variables by stochastic integrals
• Convergence rates and asymptotic normality for series estimators
• Estimating residual hedging risk with least-squares Monte Carlo
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Hedging using simulation: a least squares approach
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• Minimum return guarantees with fund switching rights -- an optimal stopping problem
• Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
• Number of paths versus number of basis functions in American option pricing
• Optimal hedging with basis risk
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Pricing rate of return guarantees in regular premium unit linked insurance
• Static super-replicating strategies for a class of exotic options
• The value of an Asian option
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(8)

• Deep hedging of long-term financial derivatives
• Indifference pricing under SAHARA utility
• Optimal hedging with basis risk under mean-variance criterion
• Estimating residual hedging risk with least-squares Monte Carlo
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Variable annuity pricing, valuation, and risk management: a survey
• Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector?
• Optimal investment-withdrawal strategy for variable annuities under a performance fee structure

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