Quantile hedging on equity-linked life insurance contracts with transaction costs
Alexander Melnikov; Shuo Tong
| Year of publication: |
2014
|
|---|---|
| Authors: | Melʹnikov, Aleksandr V. ; Tong, Shuo |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 77-88
|
| Subject: | Quantile hedging | Equity-linked life insurance | Transaction costs | Adjusted hedging volatility | Hedging costs | Hedging | Transaktionskosten | Lebensversicherung | Life insurance | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010437626