Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481)
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scientific article; zbMATH DE number 6979511
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| English | Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method |
scientific article; zbMATH DE number 6979511 |
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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (English)
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14 November 2018
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variable annuity
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COS method
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hedging
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risk minimisation
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0.8009944558143616
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0.7757392525672913
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0.7729153633117676
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0.7698976993560791
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