Cross-hedging minimum return guarantees: basis and liquidity risks
type: Item
instance of: scholarly article
title: Cross-hedging minimum return guarantees: basis and liquidity risks
zbMATH Open document ID: 1402.91183
author: Stefan Ankirchner
author: Judith C. Schneider
author: Nikolaus Schweizer
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6970340
zbMATH Keywords: basis risk
zbMATH Keywords: least-squares Monte Carlo
zbMATH Keywords: liquidity risk
zbMATH Keywords: periodic premia
zbMATH Keywords: variable annuities
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.02.010
OpenAlex ID: W3125622048
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DOI: 10.1016/J.JEDC.2014.02.010
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970340