An optimal stochastic control framework for determining the cost of hedging of variable annuities
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Publication:1994570
DOI10.1016/j.jedc.2014.04.005zbMath1402.93266OpenAlexW2080087538MaRDI QIDQ1994570
Kenneth Vetzal, Peter A. I. Forsyth
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.04.005
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions for problems involving randomness (49K45)
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