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Pricing and hedging guaranteed returns on mix funds

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  • Vellekoop, M.H.
  • Vd Kamp, A.A.
  • Post, B.A.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4J72YPG-1/2/7e0d83f462f37197411c1053fedac0fe
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 38 (2006)
    Issue (Month): 3 (June)
    Pages: 585-598

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    Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:585-598

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
    2. Schrager, David F. & Pelsser, Antoon A.J., 2004. "Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 369-398, October.
    3. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
    4. Shiller, Robert J. & Beltratti, Andrea E., 1992. "Stock prices and bond yields : Can their comovements be explained in terms of present value models?," Journal of Monetary Economics, Elsevier, vol. 30(1), pages 25-46, October.
    5. Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370.
    6. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," Working Paper 2002-3, Federal Reserve Bank of Atlanta.
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