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Using neural networks to price and hedge variable annuity guarantees
Doyle, Daniel; Groendyke, Chris - In: Risks 7 (2019) 1, pp. 1-19
This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity … the tasks of pricing as well as hedging four different varieties of variable annuity guarantees. We demonstrated a …
Persistent link: https://www.econbiz.de/10013200420
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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Scenario selection with LASSO regression for the valuation of variable annuity portfolios
Nguyen, Hang; Sherris, Michael; Villegas, Andrés M.; … - In: Insurance : mathematics and economics 116 (2024), pp. 27-43
Persistent link: https://www.econbiz.de/10015066777
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Pricing and hedging short sterling options using neural networks
Chen, Fei; Sutcliffe, Charles M. S. - In: Intelligent systems in accounting finance and … 19 (2012) 2, pp. 128-149
Persistent link: https://www.econbiz.de/10009571598
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Pricing and hedging short sterling options using neural networks
Chen, Fei; Sutcliffe, Charles M. S. - 2011
Persistent link: https://www.econbiz.de/10009375461
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Essays on financial models
Amilon, Henrik - 2000
Persistent link: https://www.econbiz.de/10001534304
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A neural network versus Black-Scholes : a comparison of pricing and hedging performances
Amilon, Henrik - In: Essays on financial models, (pp. 75-100). 2000
Persistent link: https://www.econbiz.de/10001551221
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Pricing and hedging derivative securities with neural networks and a homogeneity hint
Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115
Persistent link: https://www.econbiz.de/10001437747
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A neural network versus black-scholes : a comparison of pricing and hedging performances
Amilon, Henrik - 2001
Persistent link: https://www.econbiz.de/10001567691
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A neural network versus black-scholes : a comparison of pricing and hedging performances
Amilon, Henrik - In: Journal of forecasting 22 (2003) 4, pp. 317-335
Persistent link: https://www.econbiz.de/10001775829