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Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
16 references·0 citing·44 second hop
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation (2010)Numerical solutions of quantile hedging f…Hybrid Switching Diffusions (2009)Hybrid Switching DiffusionsMarkowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)The Titanic Option: Valuation…Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…Quantile hedging (1999)Quantile hedgingValuing Options in Regime-Switching Models (1998)Valuing Options in Regime-Swi…Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mean-Variance Hedging of Opti…Life Insurance Mathematics (1995)Life Insurance MathematicsNumerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)Efficient Analytic Approximation of American Option Values (1987)Mathematics of Financial Markets (1999)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Option pricing and Esscher transform under regime switching (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Stochastic Controls (1999)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Methods of Mathematical Finance (1998)Derivatives in Financial Markets with Stochastic Volatility (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)An Engine, Not a Camera (2006)Generalized autoregressive conditional heteroskedasticity (1986)Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Online portfolio selection (2014)REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (2010)Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions (2013)Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems (2020)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Investment Shocks and Asset Prices (2011)
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References

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  • 2001

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The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds
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