Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
Geng Deng, Tim Dulaney, Craig McCann and Mike Yan
| Year of publication: |
September 2017
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|---|---|
| Authors: | Deng, Geng ; Dulaney, Tim ; McCann, Craig ; Yan, Mike |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 2, p. 1-27
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| Subject: | equity-indexed annuities | annuities | valuation | Fourier analysis | COS method | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Private Altersvorsorge | Private retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2017.331 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011848304