"Numerical solutions of quantile hedging for guaranteed minimum death ..."

Zhuo Jin, Yumin Wang, Gang George Yin (2011)

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DOI: 10.1016/J.CAM.2010.12.003

access: open

type: Journal Article

metadata version: 2021-02-16

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Zhuo Jin, Yumin Wang, Gang George Yin:
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation. J. Comput. Appl. Math. 235(8): 2842-2860 (2011)

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