Quantile hedging in models with dividends and application to equity-linked life insurance contracts
DOI10.1007/S11579-019-00252-YzbMATH Open1437.91429OpenAlexW2989718300WikidataQ126761135 ScholiaQ126761135MaRDI QIDQ2175459FDOQ2175459
Authors: Anna Glazyrina, Alexander Melnikov 
Publication date: 29 April 2020
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-019-00252-y
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Cites Work
- Quantile hedging
- Title not available (Why is that?)
- PDE and martingale methods in option pricing.
- Title not available (Why is that?)
- Quantile hedging of equity-linked life insurance policies
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- A Black-Scholes formula for option pricing with dividends
Cited In (6)
- Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model
- On quantile hedging and its application for pricing of life insurance contracts based on financial risk assets
- Quadratic hedging for asset derivatives with discrete stochastic dividends.
- Quantile hedging and its application to life insurance
- Quantile hedging for guaranteed minimum death benefits
- Quantile hedging in a defaultable market with life insurance applications
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