Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983): Difference between revisions

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Revision as of 06:46, 5 March 2024

scientific article
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English
Pricing some life-contingent lookback options under regime-switching Lévy models
scientific article

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    Pricing some life-contingent lookback options under regime-switching Lévy models (English)
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    16 February 2022
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    regime-switching Lévy model
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    GMDB
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    exponential moments
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    Fourier cosine series expansion
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