Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

European Journal of Operational Research

Volumn 185, Issue 3, 2008, Pages 1680-1689

  Fleten, Stein Erik ^a   Lindset, Snorre ^a,b  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^b TRONDHEIM BUSINESS SCHOOL   (Norway)

Author keywords

Multi period guarantee; Optimal hedging strategies; Stochastic programming; Transaction costs

Indexed keywords

CONTRACTS; COST ACCOUNTING; INSURANCE; INVESTMENTS; PUBLIC POLICY;

LIFE INSURANCE CONTRACTS; OPTIMAL HEDGING STRATEGIES; PERIOD GUARANTEES; TRANSACTION COSTS;

STOCHASTIC PROGRAMMING;

EID: 34848857005     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.08.013     Document Type: Article

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