Duisburg, Nordrhein-Westfalen 47057
Mercator School of Management
in Total Papers Downloads
in Total Papers Citations
Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk
Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk
Hedging, Model Misspecification, Trading Restrictions, Superhedging
Portfolio insurance, discrete-time trading, return guarantees, gap risk, volatility risk.
Portfolio insurance, Performance evaluation, S&P 500, Regime switching EGARCH model, Transaction costs, Trigger trading, Gap risk
Uncertain volatility, stochastic volatility, robust hedging, tractable hedging, model misspecication, incomplete markets
Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation
Guaranteed accumulation benefits, fair contracts, feasible contracts, background risk diversification, utility losses
Periodic return guarantees, life insurance, robust hedging
Minimum Return Guarantees, Investment Caps, Investment Flexibility, Pareto efficient Contract Design
Stochastic Volatility, Robust Hedging, Tractable Hedging, Uncertain Volatility Model, Additional Hedge Instrument
Interest Rate Guarantee, Optimal Portfolio Choice, Utility Loss, Guarantee Scheme, CPPI
Certificates, Barrier Option, Price Bounds
Derivatives, Life Insurance, Capped Index Participation, Monthly Summed Cap, Select Products
Turbo-Certificates, put-call-symmetry, static hedging, barrier options, product design
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