Pricing and hedging of variable annuities with state-dependent fees
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Publication:2513614
DOI10.1016/j.insmatheco.2014.06.002zbMath1304.91098OpenAlexW2093336414MaRDI QIDQ2513614
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.002
incomplete marketbackward stochastic differential equationsquadratic optimizationLévy processLévy clayton copula
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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