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Showing 1 to 1 of 1 for “"Semi-Analytic Algorithms"”.
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Hedging Cost Analysis of Put Option with Applications to Variable Annuities
… a GBM model for the sub-account to develop a semi-analytic framework for the hedging cost analysis of this strategy and thereby propose a modified "Percentile Premium Principle", which imposes a significant "loading" on top of the regular charge to cover the costs arising from the discrete …