Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

DOI10.4064/am39-4-5zbMath1254.49024arXiv1005.4417OpenAlexW2142054485MaRDI QIDQ3144061

Łukasz Delong

Publication date: 6 December 2012

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4417

zbMATH Keywords

backward stochastic differential equationsasset-liability managementvariable annuitiesparticipating contractscapital-protected investmentsperformance-linked pay-offs

Mathematics Subject Classification ID

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