Hedging Costs for Variable Annuities Under Regime-Switching
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Publication:4562479
DOI10.1007/978-1-4899-7442-6_6zbMath1418.91228OpenAlexW156480326MaRDI QIDQ4562479
Parsiad Azimzadeh, Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 21 December 2018
Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_6
Related Items (5)
Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ The Existence of Optimal Bang-Bang Controls for GMxB Contracts
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