Pricing and Hedging of Cliquet Options and Locally Capped Contracts
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/100818157
Reference13 articles.
1. A Natural Hedge for Equity Indexed Annuities
2. Locally Capped Investment Products and the RetailInvestor
3. The best constants in the Khintchine inequality
4. Projection constants of symmetric spaces and variants of Khintchine's inequality
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