Cliquet option pricing in a jump-diffusion Lévy model (Q2414852)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7056522
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Cliquet option pricing in a jump-diffusion Lévy model |
scientific article; zbMATH DE number 7056522 |
Statements
Cliquet option pricing in a jump-diffusion Lévy model (English)
0 references
17 May 2019
0 references
cliquet option pricing
0 references
path-dependent exotic option
0 references
equity indexed annuity
0 references
structured product
0 references
sensitivity analysis
0 references
Greeks
0 references
jump-diffusion model
0 references
Lévy process
0 references
stochastic differential equation
0 references
compound Poisson process
0 references
Fourier transform
0 references
distribution function
0 references
0 references
0.9735893
0 references
0.9130476
0 references
0.9004104
0 references
0.89936936
0 references
0 references
0.89713395
0 references
0.8953291
0 references
0.89341635
0 references
