Constant elasticity of variance model and analytical strategies for annuity contracts
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Publication:940151
DOI10.1007/s10483-006-1107-zzbMath1231.91449MaRDI QIDQ940151
Jian-Wu Xiao, Shao-Hua Yin, Cheng-Lin Qin
Publication date: 1 September 2008
Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10483-006-1107-z
stochastic optimal control; Legendre transform; CEV model; defined contribution pension plan; analytical strategy
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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- A variational problem arising in financial economics
- Stochastic optimal control of annuity contracts.
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- The role of Hellinger processes in mathematical finance
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Volatility and stock prices: Implications from a production model of asset pricing