Pricing and hedging guaranteed annuity options via static option replication

AAJ (Antoon) Pelsser

Research output: Contribution to journal › Article › Academic › peer-review

39 Citations (Scopus)

20 October 2003

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@article{41201f9ec58844f6a65db5e0b663ac0f,

title = "Pricing and hedging guaranteed annuity options via static option replication",

author = "Pelsser, {AAJ (Antoon)}",

note = "20 October 2003",

year = "2003",

doi = "10.1016/S0167-6687(03)00154-9",

language = "Undefined/Unknown",

volume = "33",

pages = "283--296",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Pricing and hedging guaranteed annuity options via static option replication

AU - Pelsser, AAJ (Antoon)

N1 - 20 October 2003

PY - 2003

Y1 - 2003

U2 - 10.1016/S0167-6687(03)00154-9

DO - 10.1016/S0167-6687(03)00154-9

M3 - Article

VL - 33

SP - 283

EP - 296

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 2

ER -