Pricing longevity derivatives via Fourier transforms
Year of publication: |
2021
|
---|---|
Authors: | Bravo, Jorge Miguel Ventura ; Nunes, Joaõ Pedro Vidal |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 81-97
|
Subject: | Longevity Swaps | Longevity caps and floors | Longevity bonds | Affine mortality models | Fourier transforms | Sterblichkeit | Mortality | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Swap | Hedging |
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