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Showing 1 to 1 of 1 for “"Hedging Cost Analysis"”.
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Hedging Cost Analysis of Put Option with Applications to Variable Annuities
… insurer and need to be hedged. Among different hedging strategies, move-based discrete hedging strategies are widely adopted in practice but the cost analysis for move-based discrete hedging strategies are mathematically complex. In this thesis, we first examine various move-based hedging …