Constant elasticity of variance model and analytical strategies for annuity contracts

DOI10.1007/S10483-006-1107-ZzbMath1231.91449OpenAlexW2048377597MaRDI QIDQ940151

Shao-Hua Yin, Cheng-Lin Qin, Jian-Wu Xiao

Publication date: 1 September 2008

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-006-1107-z

zbMATH Keywords

stochastic optimal controlLegendre transformCEV modeldefined contribution pension plananalytical strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions

Cites Work

• Unnamed Item
• A variational problem arising in financial economics
• Stochastic optimal control of annuity contracts.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The role of Hellinger processes in mathematical finance
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Volatility and stock prices: Implications from a production model of asset pricing

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