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Hedging costs for variable annuities under regime-switching. (English) Zbl 1418.91228

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 133-166 (2014).
MSC:  91B30 35Q91
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