Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 873-886
The computation of the fair periodical premiums for equity-linked policies in a Cox-Ross-Rubinstein (CRR)Â [Cox, J.C., et al., 1979. Option pricing: A simplified approach. J. Financial Economics 7, 229-263] evaluation framework is computationally complex. In fact, despite we assume that the...
