How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
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Publication:896747
DOI10.1016/J.INSMATHECO.2015.08.004zbMath1348.91294OpenAlexW2215031064MaRDI QIDQ896747
Carolina Orozco-Garcia, Hato Schmeiser
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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