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• W2507859025 abstract "Abstract In this paper, we propose a semi-analytic algorithm for measuring the mean and variance of the cost associated with a two-sided move-based hedging of options written on an underlying asset whose price follows a geometric Brownian motion. Numerical examples are presented to illustrate the computational accuracy and efficiency of the algorithm. We then apply the technique to a structured product-based variable annuity with buffered protection and an annual ratchet variable annuity." @default.
• W2507859025 created "2016-09-16" @default.
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• W2507859025 date "2016-11-01" @default.
• W2507859025 modified "2023-09-27" @default.
• W2507859025 title "Move-based hedging of variable annuities: A semi-analytic approach" @default.
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• W2507859025 doi "https://doi.org/10.1016/j.insmatheco.2016.07.007" @default.
• W2507859025 hasPublicationYear "2016" @default.
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