Robust Hedging of Withdrawal Guarantees (Extended Version)
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References listed on IDEAS
- Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
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- Huang, Yao Tung & Kwok, Yue Kuen, 2014. "Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 19-43.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-15 (All new papers)
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