The Impact of Stochastic Volatility on Pricing, Hedging and Hedge Efficiency of

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The Impact of Stochastic Volatility on Pricing, Hedging and Hedge Efficiency of Withdrawal Benefit G ...
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文章名称：The Impact of Stochastic Volatility on Pricing, Hedging and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities

作者：Alexander Kling, Frederik Ruez and Jochen Rub

出版信息：ASTIN Bulletin: The Journal of the IAA, Volume 41, Issue 2, November 2011, pp.511-545

共35p，文字版（非扫描版）PDF

目录：

Keywords

1. Introductions

2. Model Framework

3. Numerical Analysis Framework

4. Contract Analysis

5. Analysis of Hedge Efficiency

6. Conclusion

References

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关键词：EFFICIENCY Stochastic Volatility Stochast hedging