Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
出版年份 2022 全文链接
标题
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
作者
关键词
-
出版物
INSURANCE MATHEMATICS & ECONOMICS
Volume 105, Issue -, Pages 96-127
出版商
Elsevier BV
发表日期
2022-04-01
DOI
10.1016/j.insmatheco.2022.03.012
参考文献
相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。- Variable annuities in a Lévy-based hybrid model with surrender risk
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- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
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- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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