An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model (Q5166103)
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scientific article; zbMATH DE number 6310747
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| English | An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model |
scientific article; zbMATH DE number 6310747 |
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30 June 2014
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guaranteed minimum death benefit
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variable annuity
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regime-switching
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Esscher transform
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fast Fourier transform
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0.8609799146652222
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0.8418272733688354
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0.8414605855941772
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0.8378580212593079
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