Pricing and hedging guaranteed annuity options via static option replication

Insurance: Mathematics and Economics

Volumn 33, Issue 2, 2003, Pages 283-296

  Pelsser, Antoon ^a,b  

^a Nationale Nederlanden   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Guaranteed annuity options; Hedging methodology; Static option replication

Indexed keywords

EID: 0242276294     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(03)00154-9     Document Type: Article

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