Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094)
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scientific article; zbMATH DE number 7784262
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| English | Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model |
scientific article; zbMATH DE number 7784262 |
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Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (English)
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5 January 2024
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regime-switching \textit{Lévy} model
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complex \textit{Fourier} series method
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\textit{European}-style \textit{Asian} option payoffs
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GMDB
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0.8590512275695801
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0.8199462294578552
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0.8176438212394714
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0.8121253252029419
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