Hedging insurance books
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Publication:2520465
DOI10.1016/j.insmatheco.2016.05.002zbMath1371.91175OpenAlexW3121583830MaRDI QIDQ2520465
Peter Carr, Michael Melamed, Dilip B. Madan, Wim Schoutens
Publication date: 13 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.002
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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method, Estimation of ask and bid prices for geometric Asian options
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