Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

Document Details

Document Type
Pub Defense Publication
Publication Date
Feb 01, 2011
Source ID
10.1016/j.cam.2010.12.003

Entities

People

  • G. Yin
  • Yumin Wang
  • Zhuo Jin

Organizations

  • Air Force Office of Scientific Research
  • National Science Foundation