Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983)
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scientific article; zbMATH DE number 7474417
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| English | Pricing some life-contingent lookback options under regime-switching Lévy models |
scientific article; zbMATH DE number 7474417 |
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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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0.8098368048667908
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0.8030312657356262
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0.7927476763725281
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0.7891203165054321
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