Minimum return guarantees with fund switching rights -- an optimal stopping problem
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Publication:658637
DOI10.1016/j.jedc.2011.06.003zbMath1282.60045OpenAlexW2164906541MaRDI QIDQ658637
Antje Mahayni, John G. M. Schoenmakers
Publication date: 13 January 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.003
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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Minimum return guarantees, investment caps, and investment flexibility ⋮ Cross-hedging minimum return guarantees: basis and liquidity risks ⋮ Approaches to multistage one-shot decision making
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