Search Results - subject:"Efficient hedging"

Optimal static hedging of variable annuities with volatility-dependent fees

Tang, Junsen - In: Risks : open access journal 12 (2024) 1, pp. 1-20

-rate determination and hedging with volatility-dependent fees from the perspective of a VA hedger. A method of efficient hedging strategy …

Persistent link: https://www.econbiz.de/10014480918

Hedging goals

Krabichler, Thomas; Wunsch, Marcus - In: Financial markets and portfolio management 38 (2024) 1, pp. 93-122

Persistent link: https://www.econbiz.de/10014500603

Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts

Melʹnikov, Aleksandr V.; Nosrati, Amir - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-28

Persistent link: https://www.econbiz.de/10011404363

Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling

Melnikov, Alexander; Tong, Shuo - In: Risk and Decision Analysis (2014) 5, pp. 23-41

This paper studies the problem of hedging equity-linked life insurance contracts with efficient hedging technique in … corresponding survival probability. Moreover, a numerical example illustrates how this efficient hedging technique is applied to …

Persistent link: https://www.econbiz.de/10010840598

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz - In: Mathematical Methods of Operations Research 79 (2014) 2, pp. 239-252

All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The …

Persistent link: https://www.econbiz.de/10010848600

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10010347953

Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling

Melnikov, Alexander; Tong, Shuo - In: Risk and decision analysis 5 (2014) 1, pp. 23-41

Persistent link: https://www.econbiz.de/10010492598

Efficient hedging for equity-linked life insurance contracts with stochastic interest rate

Melʹnikov, Aleksandr V.; Tong, Shuo - In: Risk and decision analysis 4 (2013) 3, pp. 207-223

Persistent link: https://www.econbiz.de/10010190153

Optimal partial hedging of an American option: shifting the focus to the expiration date

Lindberg, Peter - In: Mathematical Methods of Operations Research 75 (2012) 3, pp. 221-243

As a main contribution we present a new approach for studying the problem of optimal partial hedging of an American contingent claim in a finite and complete discrete-time market. We assume that at an early exercise time the investor can borrow the amount she has to pay for the option holder by...

Persistent link: https://www.econbiz.de/10010950308

Optimal partial hedging of an American option: shifting the focus to the expiration date

Lindberg, Peter - In: Computational Statistics 75 (2012) 3, pp. 221-243

Persistent link: https://www.econbiz.de/10010759512