An optimal stochastic control framework for determining the cost of hedging of variable annuities
type: Item
instance of: scholarly article
title: An optimal stochastic control framework for determining the cost of hedging of variable annuities
zbMATH Open document ID: 1402.93266
author: K. R. Vetzal
author: P. A. Forsyth
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6970522
zbMATH Keywords: optimal control
zbMATH Keywords: GLWB pricing
zbMATH Keywords: PDE approach
zbMATH Keywords: regime switching
zbMATH Keywords: no-arbitrage
zbMATH Keywords: withdrawal strategies
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.04.005
OpenAlex ID: W2080087538
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DOI: 10.1016/J.JEDC.2014.04.005
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970522