An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An optimal stochastic control framework for determining the cost of hedging of variable annuities |
scientific article; zbMATH DE number 6970522
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal stochastic control framework for determining the cost of hedging of variable annuities |
scientific article; zbMATH DE number 6970522 |
Statements
An optimal stochastic control framework for determining the cost of hedging of variable annuities (English)
0 references
1 November 2018
0 references
optimal control
0 references
GLWB pricing
0 references
PDE approach
0 references
regime switching
0 references
no-arbitrage
0 references
withdrawal strategies
0 references
0 references
