Alexander Melnikov

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Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12

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