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Hedging Equity-Linked Products Under Stochastic Volatility Models
exp(iuxt + Cj(u, τ)θ + Dj(u, τ)vt) iu ) du, for j = 0, 1, with Cj(u, τ) and Dj(u, τ) functions of u, τ , κ ... discusses product design and pricing techniques Tiong (2000) and Lee (2003) present closed-form expressions ...- Authors: Anne MacKay
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods>Stochastic models