The margrabe formula and quantile hedging of life insurance policies

Doklady Mathematics

Volumn 71, Issue 1, 2005, Pages 31-34

  Melnikov, A V ^a   Romaniuk, Yu V ^a   Skornyakova, V S ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b Mercer Investment Consulting   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17444364462     PISSN: 10645624     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (5)

1. W. Margrabe, J. Finance 33, 177-186 (1978).
2. H. Foellmer and P. Leukert, Finance and Stochastics 3, 251-273 (1999).
3. A. V. Melnikov, S. N. Volkov, and M. L. Nechaev, Mathematics of Financial Obligations (Gos. Univ. Vyssh. Shkola Ekon., Moscow, 2001; Am. Math. Soc., Providence, 2002).
4. A. V. Melnikov, Dokl. Akad. Nauk 396, 601-603 (2004) [Dokl. Math. 69, 428-430 (2004)].
5. A. V. Melnikov, Dokl. Akad. Nauk 396, 601-603 (2004) [Dokl. Math. 69, 428-430 (2004)].