Pricing and hedging equity-indexed annuities via local risk-minimization

DOI10.1080/03610926.2018.1433848OpenAlexW2793425533MaRDI QIDQ5078428

Shuai Wang, Ning Wang, Wei Wang, Lin-Yi Qian

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1433848

zbMATH Keywords

regime-switchinglocally risk-minimizing strategyjump diffusion processminimal martingale measureequity-indexed annuity

Mathematics Subject Classification ID

Related Items (1)

Valuation of equity-indexed annuities under correlated jump-diffusion processes

Cites Work

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