Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
Jennifer Alonso-García, Oliver Wood and Jonathan Ziveyi
| Year of publication: |
June 2018
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|---|---|
| Authors: | Alonso-García, Jennifer ; Wood, Oliver ; Ziveyi, Jonathan |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 1049-1075
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| Subject: | Variable annuity | GMWB | COS method | Hedging | Risk minimisation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1357832 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911282