Pricing some life-contingent lookback options under regime-switching Lévy models
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Title
Pricing some life-contingent lookback options under regime-switching Lévy models
Authors
Keywords
Regime-switching Lévy model, GMDB, Exponential moments, Fourier cosine series expansion
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 407, Issue -, Pages 114082
Publisher
Elsevier BV
Online
2022-01-11
DOI
10.1016/j.cam.2022.114082
References
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