Investment strategies in the presence of a minimum performance guarantee under stochastic interest rate

MaRDI QIDQ3170985zbMATH OpenFDO

Authors Fubing Liu, Hailong Liu

Publication date 29 September 2011

zbMATH Keywords

martingale methodinvestment strategiesinterest rate term structureminimum performance guarantee

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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