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Optimal static hedging of variable annuities with volatility-dependent fees

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

Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...

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

Prices and asymptotics for discrete variance swaps

Bernard, Carole; Cui, Zhenyu - In: Applied mathematical finance 21 (2014) 1/2, pp. 140-173

Persistent link: https://www.econbiz.de/10010352006

Semi-analytical prices for lookback and barrier options under the Heston model

De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741

Persistent link: https://www.econbiz.de/10012127317

Correction note for ‘The large-maturity smile for the Heston model’

Bernard, Carole; Cui, Zhenyu; Forde, Martin; Jacquier, … - In: Finance and Stochastics 17 (2013) 1, pp. 223-224

The papers (Forde and Jacquier in Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>; Forde et al. in Finance Stoch. 15:781–784, <CitationRef CitationID="CR2">2011</CitationRef>) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>), Forde et al. (Finance...</citationref></citationref></citationref>

Persistent link: https://www.econbiz.de/10010997068