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Efficient VA Hedging Instruments for Target Volatility Portfolios
TV put has changing notional and strike over the life of the trade We adjust the vanilla strike and ... realized variance surpasses a “budget” during the life of the trade. Otherwise it pays the same as a vanilla ...- Authors: Society of Actuaries, Jon Spiegel
- Date: Nov 2016
- Competency: Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Fixed annuities; Annuities>Variable annuities; Pensions & Retirement>Risk management